Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie 2010 (2010) 4, pp. 435-457
We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its...
