Preliminary communication

https://doi.org/10.18045/zbefri.2019.2.741

Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval

Tomasz Schabek orcid.org/0000-0002-4362-8864 ; University of Lodz, Faculty of Economics and Sociology
Bojana Olgić Draženović orcid.org/0000-0002-5175-7439 ; University of Rijeka, Faculty of Economics and Business
Davor Mance orcid.org/0000-0002-6206-2464 ; University of Rijeka, Faculty of Economics and Business

Abstract

The purpose of this study is to analyse Zagreb Stock Exchange CROBEX Index reactions to selected macroeconomic announcements within ultra-short time intervals. We utilize 5-minute rates of returns from September 2017 to March 2018 and 25 macroeconomic announcements. After carefully arranging the data, we ran the regression with dummy variables capturing the exact announcement times. We used heteroscedasticity and autocorrelation consistent (HAC) estimations in order to account for specific characteristics of intraday data and to retain the robustness of the results. Our results indicate that, for short intraday periods, some reactions are statistically significant, but the majority stays insignificant. These conclusions support the semi-strong form of the efficient-market hypothesis and are in line with inferences of similar studies of advanced economies.

Keywords

emerging markets; Croatian financial market; macroeconomic announcements; intraday returns; CROBEX

Hrčak ID:

231224

URI

https://hrcak.srce.hr/231224

Publication date:

27.12.2019.

Article data in other languages: croatian

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