Entorf, Horst; Steiner, Christian - In: Jahrbücher für Nationalökonomie und Statistik 227 (2007) 1, pp. 3-26
Summary We study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Returns are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US indicators at 2:30 p.m. (CET) have temporary and...