Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Wpływ ogłoszeń makroekonomicznych na zmienność rynków akcji
Języki publikacji
Abstrakty
Celem artykułu jest zbadanie wpływu ogłoszeń makroekonomicznych z trzech krajów, Stanów Zjednoczonych, Niemiec i Polski na zmienność śróddziennych indeksów DAX i WIG20. Dla obu indeksów opisano wzorzec zmienności i zastosowano elastyczną postać Fouriera w modelowaniu szeregów. W stosunkowo krótkim przedziale czasowym pięciu minut w obu indeksach zaobserwowano silną reakcję na ogłoszenia ze Stanów, a w niemieckim indeksie DAX słabszą reakcję na ogłoszenia niemieckie. Dla polskiego WIG20 nie wychwycono w tak krótkim interwale czasowym reakcji na polskie ogłoszenia. Dodatkowo oba indeksy nie reagują na ogłoszenia z rynku kraju sąsiadującego. (abstrakt oryginalny)
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. (original abstract)
Twórcy
autor
- Poznań University of Economics, Poland
Bibliografia
- Andersen, T., Bollerslev, T. (1998), DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements and Longer Run Dependencies, The Journal of Finance, 53, 219-265.
- Andersen, T. G., Bollerslev, T., Diebold, F. X., Vega, C. (2003), Micro Effects of Macro Announcements: Real-time Price Discovery in Foreign Exchange, American Economic Review, 93, 38-62.
- Bauwens, L., Ben Omrane, W., Giot, P. (2005), News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market, Journal of International Money and Finance, 24, 1108-1125.
- Będowska, B. (2010), Intraday CAC40, DAX and WIG20 Returns when the American Macro News is Announced, Bank i Kredyt 41, 2, 7-20.
- Bollerslev, T., Mikkelsen, H. (1996), Modeling and Pricing Long Memory in Stock Market Volatility, Journal of Econometrics, 73, 151-184.
- Boudt, K., Croux, Ch., Laurent, S. (2011), Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection, Journal of Empirical Finance 18, 353-367.
- Baillie, R., Bollerslev, T., Mikkelsen, H. O. (1996), Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 74, 3-30.
- Conrad C., Haag B. R., (2006), Inequality Constraints in the Fractionally Integrated GARCH Model, Journal of Financial Econometrics, 4, 413-449.
- Conrad, C., Lamla, M. (2008), The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication, http://www.fmpm.ch/docs/11th/papers_2008_web/E2c.pdf. (September 2011)
- Dacorogna, M., Gençay, R., Müller, U., Olsen, R., Pictet, O. (2001), An Introduction to High-Frequency Finance, Academic Press, London.
- Dominguez, C. (2003), When Do Central Banks Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements, University of Michigan and NBER Working Paper.
- Faust, J., Rogers, J. H., Wang, S. B., Wright, J. H. (2007), The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements, Journal of Monetary Economics, 54, 1051-1068.
- Gallant, R. (1981), On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: The Flexible Fourier Form, Journal of Econometrics, 211-245.
- Hanousek, J., Kocenda, E. and Kutan, A. (2008), The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data, Working Paper series ISSN 1211-3298, 349, Charles University, Centre for Economic Research and Graduate Education.
- Harju, K., Hussain, S. (2011), Intraday Seasonalities and Macroeconomic News Announcements, European Financial Management, Volume 17, Issue 2, 367-390.
- Lahaye, J., Laurent, S., Neely, Ch. (2007), Jumps, Cojumps and Macroannouncements, Federal Reserve Bank of Saint Louis, Working Paper 2007-032A.
- Laurent, S., Peters, J.-P. (2004), Estimating and Forecasting ARCH Models using G@RCH 4.2, Timberlake Consultants Ltd, www.timberlake.co.uk .
- Li, L., Engle, R. (1998), Macroeconomic Announcements and Volatility of Treasury Futures, University of California at San Diego, Economics Working Paper Series 98-27.
- Rossi, E., Fantanzzini, D. (2008), Long Memory and Periodicity in Intraday Volatilities of Stock Index Futures, Working Paper, http://economia.unipv.it/docs/dipeco/quad/ps/q210.pdf (24.10.2011).
- Wood, R., McInish, T., Ord, J.K. (1985), An Investigation of Transactions Data for NYSE Stocks, The Journal of Finance 40, 723-739.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171232481