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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Persistent link: https://www.econbiz.de/10005097856

Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose

Entorf, Horst; Steiner, Christian - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEW-Finanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15- Sekunden-Intraday-Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...

Persistent link: https://www.econbiz.de/10005098233

Makrooekonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose

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...

Persistent link: https://www.econbiz.de/10005260348

Business Cycle Forecasts and their Implications for High Frequency Stock Market Returns

Entorf, Horst; Gross, Anne; Steiner, Christian - In: Journal of Forecasting 31 (2012) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010625484

Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose

Entorf, Horst; Steiner, Christian - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2006

In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEWFinanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15-Sekunden-Intraday- Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...

Persistent link: https://www.econbiz.de/10008464616

Sectoral Transformations in Neo-Patrimonial Rentier States: Tourism Development and State Policy in Egypt

Richter, Thomas; Steiner, Christian - German Institute of Global and Area Studies (GIGA) - 2007

This article challenges claims that liberalising state regulated markets in developing countries may induce lasting economic development. The analysis of the rise of tourism in Egypt during the last three decades suggests that the effects of liberalisation and structural adjustment are...

Persistent link: https://www.econbiz.de/10005688738

Merger remedies involving restructuring costs in a Cournot framework

Steiner, Christian; Hüschelrath, Kai; Weigand, Jürgen - In: Empirica 38 (2011) 3, pp. 417-434

Persistent link: https://www.econbiz.de/10009327580

Socioeconomic and demographic factors of crime in Germany: Evidence from panel data of the German states

Entorf, Horst; Spengler, Hannes - In: International Review of Law and Economics 20 (2000) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10005485907

Real Business Cycles: Is Neglecting Demand Shocks Justified?

Entorf, Horst - In: Empirical Economics 17 (1992) 4, pp. 463-84

Real business cycle models generally neglect demand shocks. Technological productivity shocks are the primary source of economic fluctuations. The multisectoral consequences of this assumption are described in the well-known model of Long and Plosser (1983). The presented paper shows that...

Persistent link: https://www.econbiz.de/10005382424

The dollar and the German stock market: determination of exposure to and pricing of exchange rate risk using APTmodelling

Entorf, Horst; Jamin, Gösta - In: The IUP Journal of Applied Economics IV (2005) 6, pp. 19-33

We estimate the impact of dollar changes on the value of German DAX corporations, using APT-modelling for the period 1977 - 1995. Several macroeconomic risk factors, including the dollar and a residual market factor representing the general market risk, are specified. The general notion is that...

Persistent link: https://www.econbiz.de/10005398874