THE APPLICATION OF DISCRIMINANT ANALYSIS IN FORECASTING OF INVESTORS' REACTION TO MACROECONOMIC NEWS ANNOUNCEMENTS

• Authors: Tomasz Wójtowicz
• Languages of publication: EN

Abstracts

EN

Macroeconomic news announcements, particularly concerning the U.S. economy, have a significant impact on stock markets. Recent studies show that stock prices react significantly as soon as macroeconomic news is announced. However, the strength of the reaction and its duration depends on the market and on the news announced. In this paper, we study the applicability of discriminant analysis in the prediction of direction of changes of the main indices of stock exchanges in Warsaw and Vienna after release of the Employment Report by the U.S. Bureau of Labor Statistics.

Keywords

EN

macroeconomic news announcements; intraday data; discriminant analysis; nonfarm payrolls

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 2
• Pages: 252-260

Dates

published

2014

Contributors

author

Tomasz Wójtowicz

• Department of Applications of Mathematics in Economics AGH University of Science and Technology in Cracow

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