Naslov
Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval

Autori
Schabek, Tomasz ; Olgić Draženović, Bojana ; Mance, Davor

Izvornik
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu (1331-8004) 37 (2019), 2; 741-758

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, prethodno priopćenje, znanstveni

Ključne riječi
emerging markets ; Croatian financial market ; macroeconomic announcements ; intraday returns ; CROBEX

Sažetak
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

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA