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Intraday CAC40, DAX and WIG20 returns when the American macro news is announced

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  • Barbara Będowska-Sójka

    (Poznań University of Economics, Faculty of Informatics and Electronic Economy, Department of Econometrics)

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.

Suggested Citation

  • Barbara Będowska-Sójka, 2010. "Intraday CAC40, DAX and WIG20 returns when the American macro news is announced," Bank i Kredyt, Narodowy Bank Polski, vol. 41(2), pages 7-20.
    • Handle: RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20
    Note: This work was financed from the Polish science budget resources in the years 2007–2010 as the research project NN 111 1256 33. Barbara Będowska-Sójka is grateful to participants of 2 conferences: FindEcon 2009 in Łódź and Dynamic Econometric Modelling 2009 in Toruń for helpful suggestions.
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    References listed on IDEAS

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    Cited by:

    1. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
    2. Agata Kliber & Blanka Let & Aleksandra Rutkowska, 2016. "Socio-demographic characteristics of investors in the Warsaw Stock Exchange – How they influence the investment decision," Bank i Kredyt, Narodowy Bank Polski, vol. 47(2), pages 91-118.
    3. Wojciech Grabowski, 2019. "Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries," Sustainability, MDPI, vol. 11(22), pages 1-24, November.
    4. Błażej Prusak & Marcin Potrykus, 2021. "Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland," Risks, MDPI, vol. 9(3), pages 1-14, March.

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    More about this item

    Keywords

    macroeconomic announcements; high-frequency data; volatility;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G3 - Financial Economics - - Corporate Finance and Governance
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G3 - Financial Economics - - Corporate Finance and Governance

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