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The reaction of asset prices to macroeconomic announcements in new EU markets : evidence from intraday data
Hanousek, Jan; Kočenda, Evžen; Kutan, Ali Mustafa - In: Journal of financial stability 5 (2009) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10003852908
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Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových státu° EU
Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie : teorie, modelování, aplikace 58 (2010) 4, pp. 435-457
Persistent link: https://www.econbiz.de/10008825670
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The reaction of asset prices to macroeconomic announcements in new EU markets: evidence from intraday data
Hanousek, Jan; Kočenda, Evžen; Kutan, Ali Mustafa - 2007
Persistent link: https://www.econbiz.de/10003724888
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - In: Economic systems 42 (2018) 4, pp. 597-615
Persistent link: https://www.econbiz.de/10012257289
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
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Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
Persistent link: https://www.econbiz.de/10010407529
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
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Intraday price discovery in emerging European stock markets
Hanousek, Jan; Kočenda, Evžen - 2009
Persistent link: https://www.econbiz.de/10003850151
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402