The reaction of asset prices to macroeconomic announcements in new EU markets: evidence from intraday data

Abstract

We estimate the impact of macroeconomic news on composite stock returns in three emerging European Union financial markets (the Budapest BUX, Prague PX-50, and Warsaw WIG-20), using intraday data and macroeconomic announcements.

Keywords

• stock markets
• intraday data
• macroeconomic announcement