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Description
  • We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during 2004–07. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day-of-the-week effects.
  • We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during 2004–07. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day-of-the-week effects. (en)
Title
  • Foreign news and spillovers in emerging European stock markets
  • Foreign news and spillovers in emerging European stock markets (en)
skos:prefLabel
  • Foreign news and spillovers in emerging European stock markets
  • Foreign news and spillovers in emerging European stock markets (en)
skos:notation
  • RIV/67985998:_____/11:00371434!RIV12-AV0-67985998
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP403/11/0020), P(LC542), Z(AV0Z70850503), Z(MSM0021620846)
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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http://linked.open...iv/duvernostUdaju
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  • 200109
http://linked.open...ai/riv/idVysledku
  • RIV/67985998:_____/11:00371434
http://linked.open...riv/jazykVysledku
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  • emerging European stock markets; foreign news; intraday data (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV
  • [EB088B24D39A]
http://linked.open...i/riv/nazevZdroje
  • Review of International Economics
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http://linked.open...v/svazekPeriodika
  • 19
http://linked.open...iv/tvurceVysledku
  • Kočenda, Evžen
  • Hanousek, J.
http://linked.open...ain/vavai/riv/wos
  • 000287508900013
http://linked.open...n/vavai/riv/zamer
issn
  • 0965-7576
number of pages
http://bibframe.org/vocab/doi
  • 10.1111/j.1467-9396.2010.00939.x
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