Intraday Seasonalities and Macroeconomic News Announcements

Abstract

Using a data set consisting of more than five years of 5-minute intraday stock index returns for major European stock indices and US macroeconomic surprises, conditional means and volatility behaviour in European markets were investigated. The findings suggest that the opening of the US stock market significantly raises the level of volatility in Europe, all markets responding in an identical fashion. Furthermore, US macroeconomic surprises exert an immediate and major impact on both the European stock markets' intraday returns and volatilities. Thus, high frequency data appear to be critical for the identification of news impacting the markets.

Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets

“…Commonly developed markets have been found to respond more to macroeconomic news surprises coming from other markets, and to exhibit a higher level of market integration (e.g. Harju and Hussain, 2011;Andersen et al, 2007;and Bollerslev et al, 2000). Some emerging markets demonstrate increasing integration with the world, with respect to macroeconomic surprises in developed markets (e.g.…”

“…They found that stock, bond, and exchange rate dynamics are linked to macroeconomic fundamentals. Harju and Hussain (2011) investigated the intraday dynamics of four major European equity markets (France, Germany, Switzerland, and the United Kingdom) with respect to the U.S. macroeconomic news surprises. They found many of the U.S. indicators to have statistically significant influence across these markets.…”

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

“…If indeed the claimed eects are present, it is of utmost importance to investigate how European stocks in detail are aected by the announcements. To the best of our knowledge only the study by Harju and Hussain (2011) is focusing on the consequences of US macroeconomic announcements for European stock markets, thereby using high-frequency data. We analyze the eects of US macroeconomic announcements such as the disclosure of the unemployment rate, and focus on the reactions of European stock market (i) returns, (ii) return volatility and (iii) bid-ask spreads.…”

“…Recent evidence by Harju and Hussain (2011) for stock markets as well as graphical inspections of our own data conrms intraday seasonality in stock markets. Additionally, a methodology-comparison study by Laakkonen (2013) also supports to use the FFF-method to lter out intraday seasonality pattern.…”

“…From the literature, there is strong evidence for an inuence of at least some macroeconomic announcements on nancial market variables. Harju and Hussain (2011) provide evidence for strong eects of US announcements on European markets, but focus on stock indices only, rather than on individual stocks. A stock-specic analysis, however, would be necessary to evaluate if the eects are common for all stocks or if there might be diering reactions among them.…”