About: Intraday price discovery in emerging European stock markets

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intra-day movements and day-of-the-week effects. We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intra-day movements and day-of-the-week effects. (en)
Title	Intraday price discovery in emerging European stock markets Intraday price discovery in emerging European stock markets (en)
skos:prefLabel	Intraday price discovery in emerging European stock markets Intraday price discovery in emerging European stock markets (en)
skos:notation	RIV/00216208:11640/09:00326264!RIV10-GA0-11640___
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/08/1376), P(LC542), Z(MSM0021620846)
http://linked.open...iv/cisloPeriodika	382
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Hanousek, Jan Kočenda, Evžen
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...dnocenehoVysledku	320202
http://linked.open...ai/riv/idVysledku	RIV/00216208:11640/09:00326264
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	price discovery; stock markets; intra-day data; European Union; macroeconomic news (en)
http://linked.open.../riv/klicoveSlovo	intra-day data stock markets European Union macroeconomic news price discovery
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[F23A7EBDBDCA]
http://linked.open...i/riv/nazevZdroje	CERGE-EI Working Paper Series
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Center of Advanced Political Economy Research Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach
http://linked.open...UplatneniVysledku	2009
http://linked.open...v/svazekPeriodika	-
http://linked.open...iv/tvurceVysledku	Hanousek, Jan Kočenda, Evžen
http://linked.open...n/vavai/riv/zamer	Ekonomické dopady evropské integrace na ČR
issn	1211-3298
number of pages	35 (xsd:int)
http://localhost/t...ganizacniJednotka	11640

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