Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84162
Authors: 
Mittnik, Stefan
Robinzonov, Nikolay
Wohlrabe, Klaus
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4421
Abstract: 
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.
Subjects: 
announcement effects
market efficiency
information spillover
impulse response analysis
volatility
weighted least squares
JEL: 
F30
F40
G14
C58
Document Type: 
Working Paper

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