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Author
Będowska-Sójka Barbara (Poznań University of Economics, Poland)
Title
Intraday CAC40, DAX and WIG20 Returns when the American Macro News is Announced
Source
Bank i Kredyt, 2010, nr 2, s. 7-20, tab., rys., bibliogr. 15 poz.
Keyword
Makroekonomia, Sytuacja makroekonomiczna, Informacja publiczna, Informacja ekonomiczna, Informacja w podejmowaniu decyzji, Indeks giełdowy, Model GARCH
Macroeconomics, Macroeconomic situation, Public information, Economic information, Information in decision making, Stock market indexes, GARCH model
Note
summ.
Abstract
We examine the reaction of the returns of CAC40, DAX and WIG20 to the periodically scheduled prominent American macroeconomic data announcements. We investigate returns and volatility dynamics at the time of news arrival as well as interdependence between series within the time of the announcements. The results suggest that the macro announcements from the U.S. market not only explain seasonality observed in these equity markets but also have a significant impact on both returns and volatility. However, the reactions to announcements are different with respect to the type of announcement. Application of dynamic conditional correlation models allows us to decompose the total impact of announcements into the reaction on the domestic market and conditional correlation between the markets. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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Bibliography
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ISSN
0137-5520
Language
eng
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