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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...
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. The models used include Granger causality, cointegration, and error-correction models. The results demonstrate that the …
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