The Impact of Macro News on Volatility of Stock Exchanges
DOI:
https://doi.org/10.12775/DEM.2011.007Keywords
high frequency data, macroeconomic announcement, flexible Fourier form, intraday periodicity, volatility modelingAbstract
The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using high-frequency 5-minute returns from 2009-2010 we show that the periodical
patterns of the German and the Polish main indices is very similar and their reaction to the macroeconomic announcements too. In both cases the domestic and neighbor-country announcements are much less important comparing to American releases.
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