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  1. The micro dynamics of macro announcements
    Published: 2013
    Publisher:  CESifo, München

    We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement... more

    Staats- und Universitätsbibliothek Bremen
    No inter-library loan
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    No inter-library loan
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    DS 63 (4421)
    No inter-library loan

     

    We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by distinguishing effects of positive and negative surprises. Finally, we adapt the standard weighted-least-squares approach to more adequately analyze both conditional mean and volatility effects.

     

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/84162
    RVK Categories: QB 910
    Series: Array ; 4421
    Subjects: announcement effects; market efficiency; information spillover; impulse response analysis; volatility; weighted least squares
    Scope: Online-Ressource (26 S.), graph. Darst.