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Scientific paper - Preliminary note / Short communication
Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 37 (2019), 2; 741-758. https://doi.org/10.18045/zbefri.2019.2.741
Schabek, Tomasz; Olgić Draženović, Bojana; Mance, Davor

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Schabek, T., Olgić Draženović, B. & Mance, D. (2019). Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval. Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 37. (2), 741-758. doi: 10.18045/zbefri.2019.2.741

Schabek, Tomasz, et al. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval." Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, vol. 37, no. 2, 2019, pp. 741-758. https://doi.org/10.18045/zbefri.2019.2.741

Schabek, Tomasz, Bojana Olgić Draženović and Davor Mance. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval." Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu 37, no. 2 (2019): 741-758. https://doi.org/10.18045/zbefri.2019.2.741

Schabek, T., Olgić Draženović, B. and Mance, D. (2019) 'Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval', Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 37(2), pp. 741-758. doi: 10.18045/zbefri.2019.2.741

Schabek T, Olgić Draženović B, Mance D. Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval. Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu [Internet]. 2019 [cited 2024 April 27];37(2):741-758. doi: 10.18045/zbefri.2019.2.741

T. Schabek, B. Olgić Draženović and D. Mance, "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval", Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, vol. 37, no. 2, pp. 741-758, 2019. [Online]. Available at: https://urn.nsk.hr/urn:nbn:hr:192:174145. [Accessed: 27 April 2024]

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Title (english)Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval
Title (croatian)Reakcije CROBEX indeksa Zagrebačke burze na makroekonomske najave u visoko frekventnim intervalima
AuthorTomasz Schabek https://orcid.org/0000-0002-4362-8864
AuthorBojana Olgić Draženović
AuthorDavor Mance
Author's institutionUniversity of Rijeka
Faculty of Economics and Business
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract (english)
Svrha ovog rada je analizirati reakcije CROBEX indeksa Zagrebačke burze na odabrane makroekonomske najave u vrlo kratkim vremenskim intervalima. U radu se koriste varijable stopa prinosa od 5 minuta od rujna 2017. do ožujka 2018. kao i 25 makroekonomskih najava. Nakon pažljive provedbe faze pripreme podataka, utvrđena je regresija za koju se koriste dummy varijable koje predstavljaju točno vrijeme objavljivanja. U obzir je uzeta heteroskedastičnost i autokorelacijske konzistentne (HAC) procjene zbog specifičnosti unutardnevnih podataka i robusnosti rezultata. Naši rezultati upućuju na to da su za unutardnevna kratka razdoblja reakcije tržišta statistički značajne. Stoga se zaključuje da se makroekonomska politika (monetarna ili fiskalna) odražava na stope prinosa hrvatskih dioničkih indeksa. Navedeno potvrđuje hipotezu učinkovitog tržišta i u skladu su sa zaključcima sličnih studija razvijenih gospodarstava.
Abstract (english)
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 (croatian)
Keywords (english)
Languageenglish
Languagecroatian
Publication typeScientific paper - Preliminary note / Short communication
Publication statusPublished
Peer reviewPeer review - international
Publication versionPublished version
Journal titleZbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu
Numberingvol. 37, no. 2, pp. 741-758
p-ISSN1331-8004
e-ISSN1846-7520
DOIhttps://doi.org/10.18045/zbefri.2019.2.741
URN:NBNurn:nbn:hr:192:174145
Publication2019
Document URLhttps://hrcak.srce.hr/231224
Type of resourceText
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2020-07-20 22:19:47