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

摘要: This article contributes to the literature on business cycle forecasts and their impact asset prices by investigating how 15-second Xetra DAX returns reflect monthly announcements of two best-known for Germany, i.e., Ifo Business Climate Index ZEW Indicator Economic Sentiment. The analysis disentangles ‘good’ macroeconomics news from ‘bad’ and, simultaneously, considers time intervals with without confounding other sources. Releases both institutes lead an immediate response occurring 15 seconds after announcements, i.e. within first possible interval. Announcements are also clearly immediately reflected in volatility, which remains at a significantly higher level approximately 2 minutes. Findings can be used improve high-frequency stock markets. Copyright © 2011 John Wiley & Sons, Ltd.