Entorf, Horst; Steiner, Christian - In: Journal of Economics and Statistics (Jahrbuecher fuer … 227 (2007) 1, pp. 3-26
We study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Retunrs are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US indicators at 2:30 p.m. (CET) have temporary and opening of...