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

• Authors: Henryk Gurgul , Milena Suliga , Tomasz Wojtowicz
• 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.

Keywords

EN

event study; macroeconomic announcements intraday data

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 1
• Pages: 150-159

Dates

published

2013

Contributors

author

Henryk Gurgul

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

author

Milena Suliga

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

author

Tomasz Wojtowicz

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

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