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Understanding international stock market comovements : a comparison of developed and emerging markets

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Persistent link: https://www.econbiz.de/10012033726

Globalization and international risk-sharing : the role of social and political integration

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Foreign news and spillovers in emerging European stock markets

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Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors

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Foreign News and Spillovers in Emerging European Stock Markets

Kočenda, Evžen - 2010

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the...

Persistent link: https://www.econbiz.de/10013139855