TAILIEUCHUNG - Foreign News and Spillovers in Emerging European Stock Markets

Only loans that meet the definition of a security are in the scope of ASC 320. Although certain loans can be readily converted into securities (., loans insured by the Federal Housing Administration or conforming mortgage loans), a loan is not within the scope of ASC 320 until it has been securitized. The accounting by creditors for impairment of certain loans is addressed by ASC 310-10, and is applicable to all creditors and to all loans except (i) large groups of smaller-balance homogeneous loans that are collectively evaluated for impairment (., ASC 450-20), (ii) loans that are measured at fair. | The William Davidson Institute AT THE UNIVERSITY OF MICHIGAN Foreign News and Spillovers in Emerging European Stock Markets By Evzen Kocenda and Jan Hanousek William Davidson Institute Working Paper Number 983 May 2010 Foreign News and Spillovers in Emerging European Stock Markets Jan Hanousek and Evzen Kocenda Abstract We analyze foreign news and spillovers in the emerging EU stock markets the Czech Republic Hungary and Poland . We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and . macroeconomic announcements during 2004-2007. We account for the difference of each announcement from its market expectation and we jointly model the volatility of the returns accounting for intraday movements and day-of-the-week effects. Our findings show that intraday interactions on the new EU markets are strongly determined by mature stock markets as well as the macroeconomic news originating thereby. We show that strong contemporaneous links across markets are present even after controlling for macroeconomic announcements. Finally in terms of specific announcements we are able to show the exact sources of macro news spillovers from the developed foreign markets to the three new EU markets under research. Keywords finance intra-day data macroeconomic news European emerging stock markets volatility JEL Classification C52 F36 G15 P59 CERGE-EI Charles University and the Academy of Sciences Prague Czech Republic Anglo-American University Prague The William Davidson Institute Michigan and CEPR London. -mail . CERGE-EI Charles University and the Academy of Sciences Prague Czech Republic Anglo-American University Prague CESifo Munich The William Davidson Institute Michigan CEPR London Osteuropa Institut Regensburg. E-mail . We would like to thank John Banko John Brinkman . Chola Dana Hájková Iuliana Ismailescu Petr Koblic Evan Kraft and Magdalena Malinowska. We also acknowledge .

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