Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval (CROSBI ID 272709)
Prilog u časopisu | prethodno priopćenje | međunarodna recenzija
Podaci o odgovornosti
Schabek, Tomasz ; Olgić Draženović, Bojana ; Mance, Davor
engleski
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 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
emerging markets ; Croatian financial market ; macroeconomic announcements ; intraday returns ; CROBEX
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Podaci o izdanju
37 (2)
2019.
741-758
objavljeno
1331-8004
1846-7520
10.18045/zbefri.2019.2.741
Povezanost rada
Ekonomija