Intraday Seasonalities and Macroeconomic News Announcements
利用欧洲主要股指的5分钟高频数据和美国宏观经济意外数据，发现美国股市开盘显著提升欧洲市场波动，且美国宏观新闻对欧洲股市的日内收益和波动有即时重大影响，说明高频数据对识别市场冲击至关重要。
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.