Download or read book Macroeconomic News Effects on the Stock Markets in Intraday Data written by Barbara Bedowska-Sojka and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The reaction to the American macroeconomic surprises is stronger than to the German ones.