Abstract
ABSTRACTThis article contributes to the literature on business cycle forecasts 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 the ZEW Indicator of Economic Sentiment. The analysis disentangles ‘good’ macroeconomics news from ‘bad’ news and, simultaneously, considers time intervals with and without confounding announcements from other sources. Releases from both institutes lead to an immediate response of returns occurring 15 seconds after the announcements, i.e. within the first possible time interval. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly higher level for approximately 2 minutes. Findings can be used to improve high‐frequency forecasts in stock markets. Copyright © 2011 John Wiley & Sons, Ltd.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
