Review of International Economics, Vol. CERGE-EI Center for Economic Research and Graduate Education - Economics Institute ; Charles University in Prague; Academy of Sciences of the Czech Republic; Centre for Economic Policy Research CEPR.

Charles University in Prague - Institute of Economic Studies; Institute of Information Theory and Automation Czech Academy of Sciences - Department of Econometrics; CESifo; University of Regensburg - Institute for East and Southeast European Studies; University of Michigan at Ann Arbor - The William Davidson Institute. We analyze foreign news and spillovers in the emerging EU stock markets the Czech Republic, Hungary, and Poland.

We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and US macroeconomic announcements during We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day-of-the-week effects.

Our findings show that intraday interactions on the new EU markets are strongly determined by mature stock markets as well as the macroeconomic news originating thereby.

We show that strong contemporaneous links across markets are present even after controlling for macroeconomic announcements.

Finally, in terms of specific announcements, we are able to show the exact sources of macro news spillovers from the developed foreign markets to the three new EU markets under research. Hanousek, Jan and Kocenda, Evzen, Foreign News and Spillovers in Emerging European Stock Markets January 18, Politickych veznu 7 Prague 1, 21 Czech Republic 2 Phone 2 Fax.

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Using the URL or DOI link below will ensure access to this page indefinitely. Jan Hanousek CERGE-EI Center for Economic Research and Graduate Education - Economics Institute ; Charles University in Prague; Academy of Sciences of the Czech Republic; Centre for Economic Policy Research CEPR Evzen Kocenda Charles University in Earn huge money from forex in india - Institute of Economic Studies; Institute of Information Theory and Automation Czech Academy of Sciences - Department of Econometrics; CESifo; University of Regensburg foreign news and spillovers in emerging european stock markets Institute for East and Southeast European Studies; University of Michigan at Ann Arbor - The William Davidson Institute.

Abstract We analyze foreign news and spillovers in the emerging EU stock markets the Czech Republic, Hungary, and Poland. Jan Hanousek Contact Author CERGE-EI Center for Economic Research and Graduate Education - Economics Institute email Politickych veznu 7 Prague 1, 21 Czech Republic 2 Phone 2 Fax HOME PAGE: Academy of Sciences of the Czech Republic email Narodni 3, 42 Praha 1 Czech Republic.

Centre for Economic Policy Research CEPR email 77 Bastwick Street London, EC1V 3PZ United Kingdom. Evzen Kocenda Charles University in Prague - Institute of Economic Studies email Opletalova St.

Institute of Information Theory and Automation Czech Academy of Sciences - Department of Econometrics email Pod vodarenskou vezi 4 CZ Praha 8 Czech Republic. University of Regensburg - Institute for East and Southeast European Studies Landshuterstr. University of Michigan at Ann Arbor - The William Davidson Institute E. Review of International Economics Follow. Review of International Economics Subscribe to this free journal for more curated articles on this topic FOLLOWERS.

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