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How to define macroeconomic announcement surprises? An example of the impact of US macroeconomic news on stock prices on the Warsaw Stock Exchange

100%
Wójtowicz T.
Managerial Economics
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2022
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vol. 23
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issue 1
77-98
EN
The definition of a news surprise plays a crucial role in the analysis of the impact of unexpected macroeconomic news announcements. In this paper, we study the properties of the most commonly used measure of news surprise, defined as the difference between the announced and expected value of the indicator. Due to the high vulnerability of this measure to outliers, we consider alternative definitions of macroeconomic surprises. Based on the analysis of announcements of 15 American macroeconomic indicators, we show that taking into account the heterogeneity of analysts’ forecasts or the variability of the previous surprises, noticeably improves the properties of the distribution of surprise measures. An additional study performed with the use of a dynamic model proves a strong linear relationship between surprise measures and WIG20 returns in the first five minutes after news announcements.
2
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Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade

100%
OLBRYŚ J., MURSZTYN M.
Operations Research and Decisions
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2017
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vol. 27
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issue 4
111-127
EN
The aim of this study is to assess and analyse selected liquidity/illiquidity measures derived from high-frequency intraday data from the Warsaw Stock Exchange (WSE). As the side initiating a trade cannot be directly identified from a raw data set, firstly the Lee–Ready algorithm for inferring the initiator of a trade is employed to distinguish between so-called buyer- and seller-initiated trades. Intraday data for fifty-three WSE-listed companies divided into three size groups cover the period from January 3, 2005 to June 30, 2015. The paper provides an analysis of the robustness of the obtained results with respect to the whole sample and three consecutive subsamples, each of equal size: covering the precrisis, crisis, and post-crisis periods. The empirical results turn out to be robust to the choice of the period. Furthermore, hypotheses concerning the statistical significance of coefficients of correlation between the daily values of three liquidity proxies used in the study are tested.
3
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The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange

100%
Wójtowicz T., Mitterer C.
Central European Journal of Economic Modelling and Econometrics
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2021
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issue 3
4
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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

100%
Gurgul H., Hastenteufel J., Wójtowicz T.
Statistics in Transition new series
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2021
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vol. 22
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issue 4
41-58
EN
Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004- 2019 we study the changes in significance and in the strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On the basis of the event study analysis, we describe the reaction of the WIG20 index in the first few minutes after these kinds of announcements.
5
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Intraday patterns in time-varying correlations among Central European stock markets

100%
Wojtowicz T.
Managerial Economics
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2016
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vol. 17
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issue 1
149-162
EN
In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare time-varying conditional correlations of intraday returns of the main indices of the stock exchanges. We study the impact of important public information, US macroeconomic news announcements, on the strength of interrelationships between the markets. Additionally, we analyze diurnal patterns in time-varying correlations on different days of the week.
6
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Price duration versus trading volume in high-frequency data for selected DAX companies

100%
Gurgul H., Robert S., Mitterer C.
Managerial Economics
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2016
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vol. 17
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issue 2
241-260
EN
The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time series. The properties of the time series of price durations and trading volumes under study are in line with common observations from other empirical studies. We observe clustering, overdispersion, and diurnality. For most of the stocks, the seminal model (linear parametrization with exponential or Weibull distribution) can be replaced by a logarithmic specification with more-flexible conditional distributions. The price duration and trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high cumulative trading volumes are associated with long duration. However, changes of price over short times are related to low cumulative volume.
7
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THE APPLICATION OF DISCRIMINANT ANALYSIS IN FORECASTING OF INVESTORS' REACTION TO MACROECONOMIC NEWS ANNOUNCEMENTS

100%
Wójtowicz T.
Metody Ilościowe w Badaniach Ekonomicznych
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2014
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vol. 15
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issue 2
252-260
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.
8
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The testing of causal stock returns-trading volume dependencies with the aid of copulas

88%
Gurgul H., Mestel R., Syrek R.
Managerial Economics
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2013
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vol. 13
21-44
EN
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. It is worth noting that these tests can be used in general settings since there is no restrietion on the dimension of the data. The parameter which must be set up for the testing procedure is a bandwidth. It is necessary for estimation of the nonparametric copula. The paper presents some patterns of causal relationships between stock returns, realized volatility and expected and unexpected trading volume. There is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. Therefore, a knowledge of past stock returns can improve forecasts of expected trading volume. They did not find causality running in the opposite direction.
9
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The logarithmic ACD model: The microstructure of the German and Polish stock markets

75%
Gurgul H., Syrek R.
Managerial Economics
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2016
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vol. 17
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issue 1
77-92
EN
The main goal of this paper is to compare the microstructure of selected stocks listed on theFrankfurt and Warsaw Stock Exchanges. We focus on the properties of duration on both markets and on fitting the appropriate ACD models. Because of the quite different levels of capitalization of stocks on these markets, we observe essential discrepancies between these stocks. Whilefor most German companies on the DAX30, the Burr distribution fits better than generalized gamma distribution, the latter distribution is superior in the case of the largest Polish companies. Analyzing series by hazard function, we note the similarity of hazard functions for companies on both markets, which tend to have a U-shaped pattern.
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