Bedowska-Sojka, Barbara - 2017
macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC …40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …