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

Bojana Olgić Draženović¹  Tomasz Schabek²  Davor Mance³ 

[1] capital markets, institutional investors, pension systems;financial econometrics, finance, behavioral finance, capital markets;institutional and behavioral economics;

关键词: emergingmarkets;    croatianfinancialmarket;    macroeconomic announcements;    intraday returns;    crobex;   

DOI  :  10.18045/zbefri.2019.2.741

来源: DOAJ

【 摘 要 】

The purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactionstoselectedmacroeconomicannouncementswithinultra-shorttime 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.

【 授权许可】

Unknown