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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose

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  • Entorf, Horst
  • Steiner, Christian

Abstract

In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEW-Finanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15- Sekunden-Intraday-Realisationen des XDAX zur Verfügung. Die mittels Vergleich von Intraday-Verläufen, Regressionsanalyse und GARCH(1,1)-Modellierung erzeugten Ergebnisse zeigen sekundenschnelle und nur wenige Minuten anhaltende Reaktionen, wobei der größte Anteil der hochsignifikanten Reaktionen innerhalb von 30 Sekunden erfolgt. Bei Berücksichtigung der Ankündigungseffekte in der Varianzgleichung des GARCH(1,1)-Prozesse werden autoregressive Einflüsse des Renditeverhaltens insignifikant.

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  • Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers 06-008, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:4587
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    1. Entorf Horst & Steiner Christian, 2007. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 3-26, February.
    2. repec:jns:jbstat:v:227:y:2007:i:1:p:3-26 is not listed on IDEAS

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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