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2013 | 14 | 1 | 150-159
Article title

THE REACTION OF INTRADAY WIG RETURNS TO THE U.S. MACROECONOMIC NEWS ANNOUNCEMENTS

Content
Title variants
Languages of publication
EN
Abstracts
EN
This paper analyses the reaction of stock returns on the Warsaw Stock Exchange to U.S. macroeconomic news announcements. The study is conducted on the basis of five-minute returns of WIG from January 2004 to December 2012. This nine-year period includes different stages of economic cycle and additionally the global financial crisis. Hence results of our analysis are not limited only to contraction or expansion and can be applied to bull and bear market. The application of event study analysis allows us to measure not only the strength of the impact of information release but also its duration.
Year
Volume
14
Issue
1
Pages
150-159
Physical description
Dates
published
2013
Contributors
author
  • Department of Applications of Mathematics in Economics AGH University of Science and Technology in Cracow
author
  • Department of Applications of Mathematics in Economics AGH University of Science and Technology in Cracow
  • Department of Applications of Mathematics in Economics AGH University of Science and Technology in Cracow
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-c7765987-53fa-474d-910d-51c0160ab440
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