Intraday Seasonalities and Macroeconomic News Announcements

Kari Kristian Harju, Syed Mujahid Hussain

Research output: Contribution to journalArticleScientificpeer-review

36 Citations (Scopus)
Original languageEnglish
Peer-reviewed scientific journalEuropean Financial Management
Volume17
Issue number2
Pages (from-to)367-390
Number of pages24
ISSN1354-7798
DOIs
Publication statusPublished - 2011
MoE publication typeA1 Journal article - refereed

Keywords

  • conditional mean
  • conditional volatility
  • information spillover
  • intraday seasonality
  • Flexible Fourier Form
  • macroeconomic surprises
  • G14
  • G15
  • STOCK RETURNS
  • VOLATILITY
  • EXCHANGE
  • PATTERNS
  • MARKET
  • US
  • 511 Economics
  • KOTA2011

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