Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval
The purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactions to selected macroeconomic announcements within ultra-short time intervals. We utilize 5-minute rates of returns from September 2017 to March 2018 and 25 macroeconomic announcements. After carefully arranging...
| Main Authors: | , , |
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2019-12-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| Subjects: | |
| Online Access: | https://www.efri.uniri.hr/upload/ZBORNIK%202_2019/10-Schabek%20et%20al-2019-2.pdf |
| _version_ | 1819085131477942272 |
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| author | Tomasz Schabek Bojana Olgić Draženović Davor Mance |
| author_facet | Tomasz Schabek Bojana Olgić Draženović Davor Mance |
| author_sort | Tomasz Schabek |
| collection | DOAJ |
| description | The purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactions to selected macroeconomic announcements within ultra-short time intervals. We utilize 5-minute rates of returns from September 2017 to March 2018 and 25 macroeconomic announcements. After carefully arranging the data, we ran the regression with dummy variables capturing the exact announcement times. We used heteroscedasticity and autocorrelation consistent (HAC) estimations in order to account for specific characteristics of intraday data and to retain the robustness of the results. Our results indicate that, for short intraday periods, some reactions are statistically significant, but the majority stays insignificant. These conclusions support the semi-strong form of the efficient-market hypothesis and are in line with inferences of similar studies of advanced economies. |
| first_indexed | 2024-12-21T20:59:29Z |
| format | Article |
| id | doaj.art-bac06f4f4e7247c0bd4a5e8f61e0a481 |
| institution | Directory Open Access Journal |
| issn | 1331-8004 1846-7520 |
| language | deu |
| last_indexed | 2024-12-21T20:59:29Z |
| publishDate | 2019-12-01 |
| publisher | Faculty of Economics University of Rijeka |
| record_format | Article |
| series | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| spelling | doaj.art-bac06f4f4e7247c0bd4a5e8f61e0a4812022-12-21T18:50:29ZdeuFaculty of Economics University of RijekaZbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu1331-80041846-75202019-12-0137274175810.18045/zbefri.2019.2.741Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time intervalTomasz Schabek0Bojana Olgić Draženović1Davor Mance2financial econometrics, finance, behavioral finance, capital marketscapital markets, institutional investors, pension systemsinstitutional and behavioral economicsThe purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactions to selected macroeconomic announcements within ultra-short time intervals. We utilize 5-minute rates of returns from September 2017 to March 2018 and 25 macroeconomic announcements. After carefully arranging the data, we ran the regression with dummy variables capturing the exact announcement times. We used heteroscedasticity and autocorrelation consistent (HAC) estimations in order to account for specific characteristics of intraday data and to retain the robustness of the results. Our results indicate that, for short intraday periods, some reactions are statistically significant, but the majority stays insignificant. These conclusions support the semi-strong form of the efficient-market hypothesis and are in line with inferences of similar studies of advanced economies.https://www.efri.uniri.hr/upload/ZBORNIK%202_2019/10-Schabek%20et%20al-2019-2.pdfemerging marketscroatian financial marketmacroeconomic announcementsintraday returnscrobex |
| spellingShingle | Tomasz Schabek Bojana Olgić Draženović Davor Mance Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu emerging markets croatian financial market macroeconomic announcements intraday returns crobex |
| title | Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval |
| title_full | Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval |
| title_fullStr | Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval |
| title_full_unstemmed | Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval |
| title_short | Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval |
| title_sort | reaction of zagreb stock exchange crobex index to macroeconomic announcements within a high frequency time interval |
| topic | emerging markets croatian financial market macroeconomic announcements intraday returns crobex |
| url | https://www.efri.uniri.hr/upload/ZBORNIK%202_2019/10-Schabek%20et%20al-2019-2.pdf |
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