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Statements

Subject Item
n2:RIV%2F00216208%3A11640%2F09%3A00337840%21RIV10-GA0-11640___
rdf:type
n22:Vysledek skos:Concept
dcterms:description
The goal of this paper is to study real time behavior on three emerging EU stock markets - in the Czech Republic, Hungary, and Poland - taking into account interactions with developed markets and the influence of macroeconomic news originating in the EU and in the U.S. We characterize the price discovery in these three emerging EU stock markets 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. The goal of this paper is to study real time behavior on three emerging EU stock markets - in the Czech Republic, Hungary, and Poland - taking into account interactions with developed markets and the influence of macroeconomic news originating in the EU and in the U.S. We characterize the price discovery in these three emerging EU stock markets 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.
dcterms:title
Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets
skos:prefLabel
Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets Effects of scheduled versus unexpected news in intraday price movements: the evidence from new European stock markets
skos:notation
RIV/00216208:11640/09:00337840!RIV10-GA0-11640___
n3:aktivita
n16:Z n16:P
n3:aktivity
P(GA402/08/1376), Z(MSM0021620846)
n3:dodaniDat
n10:2010
n3:domaciTvurceVysledku
n9:3485641 n9:4000773
n3:druhVysledku
n6:D
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
312435
n3:idVysledku
RIV/00216208:11640/09:00337840
n3:jazykVysledku
n5:eng
n3:klicovaSlova
stock markets; intraday price movements; price discovery; macroeconomic news
n3:klicoveSlovo
n8:stock%20markets n8:intraday%20price%20movements n8:price%20discovery n8:macroeconomic%20news
n3:kontrolniKodProRIV
[A506BF336980]
n3:mistoKonaniAkce
Kostelec nad Černými lesy
n3:mistoVydani
Prague
n3:nazevZdroje
Proceedings of 27th International Conference Mathematical Methods in Economics 2009
n3:obor
n4:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n17:GA402%2F08%2F1376
n3:rokUplatneniVysledku
n10:2009
n3:tvurceVysledku
Kočenda, Evžen Hanousek, Jan
n3:typAkce
n7:CST
n3:wos
000275146900019
n3:zahajeniAkce
2009-09-09+02:00
n3:zamer
n21:MSM0021620846
s:numberOfPages
6
n18:hasPublisher
Česká zemědělská univerzita v Praze
n14:isbn
978-80-213-1963-9
n20:organizacniJednotka
11640