Search results

1

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

100%

Gurgul H., Suliga M., Wojtowicz T.

Metody Ilościowe w Badaniach Ekonomicznych

|

2013

|

vol. 14

|

issue 1

150-159

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.

2

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

80%

Miralles-Quirós J. L., Miralles-Quirós M. M.

Oeconomia Copernicana

|

2022

|

vol. 13

|

issue 3

745-782

EN

Research background: A current strand of the financial literature is focusing on detecting inefficiencies, such as the day-of-the-week effect, in the cryptocurrency market. However, these studies are not considering that there are no daily closes in this market, and it is possible to trade cryptocurrencies on a continuous basis. This fact may have led to biases in previous empirical results. Purpose of the article: We propose to analyse the day-of-the-week effect on the Bitcoin from an alternative perspective where each hourly data in a day is considered an event. Focusing on that objective, we employ hourly closing prices for Bitcoin which are taken from the Kraken exchange, one of the world leading exchanges and trading platforms in the cryptocurrency markets, for the period spanning from January 2016 to December 2021. Methods: Contrary to the previous empirical evidence, we do not calculate daily returns, but rather the first stage of our proposed approach is devoted to analysing the hourly mean returns for each of the 24 hours of the day for each day of the week. We look for statistically significant hourly mean returns that could advance the importance of the hourly differentiation in the Bitcoin market. In a second stage, we calculate different post-event cumulative returns which are defined as the change in log prices over a time interval. Finally, we propose different investment strategies simply based on the significant hourly mean returns we obtain and we evaluate their performance in terms of the Sharpe ratio. Findings & value added: We contribute to the debate about the degree of Bitcoin's market efficiency by providing an alternative methodology based on an event study hourly approach. Furthermore, we provide evidence that by investing in different post-event hourly windows it is possible to outperform the classic buy-and-hold strategy.

3

The reaction of the WSE to U.S. employment news announcements.

80%

Suliga M., Wójtowicz T.

Managerial Economics

|

2013

|

vol. 14

165-176

EN

Stock markets react to various information. One of the most important information concerns macroeconomic data because it describes the state of the economy. The U.S. is the world’s largest economy and thus American macroeconomic news announcements strongly affects European stock markets. In this paper we investigate the reaction of stock prices on the Warsaw Stock Exchange to values of macroeconomic indicators published in the Employment Report by the U.S. Bureau of Labor Statistics. We study the impact of macroeconomic indicators separately as well as interrelations between them. It allows us to specify which of the indicators under study is the most informative. We analyze the impact of information about the state of the labor market in the U.S. in the period from January 2004 to November 2012. In order to describe duration, direction and significance of the impact we apply the event study analysis to intraday returns of WIG – the main index of WSE.

4

Sovereign credit ratings and CDS spreads in Emerging Europe

80%

Dopierała Ł., Ilczuk D., Wojciechowski L.

Equilibrium. Quarterly Journal of Economics and Economic Policy

|

2020

|

vol. 15

|

issue 3

419-438

EN

Research background: Sovereign credit ratings play an important role in determining any country?s access to the international debt market. During the global financial crisis and the European debt crisis, credit rating agencies were harshly criticized for the timing of their announcements regarding ratings downgrades and the ranges of those downgrades. Therefore, it is worth considering whether the sovereign credit rating is still a useful benchmark for investors. Purpose of the article: This article examines whether credit rating agencies still provide financial markets with new information about the solvency of governments in Emerging Europe countries. In addition, it describes the differences in the effect of particular types of rating events on financial markets and the impact of individual agencies on the market situation. Our study also focuses on evaluating these occurrences at different stages of the business cycle. Methods: This article uses data about ratings events that took place between 2008 and 2018 in 17 Emerging Europe economies. We took into consideration positive, neutral, and negative events related to ratings changes and the outlooks reported by Fitch Ratings, Moody?s, and Standard & Poor?s. We used a methodology based on event studies. In addition, we performed Wilcoxon signed-ranks test and used a logit model to determine the usefulness of cumulative adjusted credit default swap (CDS) spread changes in predicting the direction of ratings changes. Findings & Value added: Our research provides evidence that the CDS market reflects information regarding government issuers up to three months before ratings downgrades are announced. Information reported to the market by ratings agencies is only relevant in the short timeframe surrounding ratings downgrades and upgrades. However, positive credit rating changes convey more information to the market. We also found strong evidence that, in the post-crisis period, credit ratings provide markets with less information.

5

Can the publication of annual financial reports become an opportunity for insider trading?

80%

Suliga M.

Managerial Economics

|

2015

|

vol. 16

|

issue 1

EN

Illegal insider trading is a problem that involves most of financial markets. Unusual abnormal returns as well as increased trading volumes observed ahead o price sensitive information can be signals of this type of market abuse behavior. In this paper, I study the occurrence of insider trading on the Warsaw Stock Exchange. I verify if publications of annual financial reports of WIG issuers can be preceded by this phenomenon. The study includes reports from the period between 1 January, 2010, and 29 May, 2014. In order to define abnormal returns, I suit the GARCH process to daily returns and use event-study analysis. Potential insider trading behaviors are found with the use of two-day cumulative abnormal returns in a first step and with the use of daily abnormal returns afterwards. The publications that are marked with potential informed price movements are analyzed for the presence of extremely high abnormal trading volumes, which can be additional signals of market abuse.

6

INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?

80%

Daszyńska-Żygadło K., Ryszawska B., Słoński T., Zawadzki B. M.

Acta Universitatis Lodziensis. Folia Oeconomica

|

2014

|

vol. 2

|

issue 300

EN

This article presents the problem of measuring the impact of information disclosure aboutCSR activities on stock performance. The research was performed on two indexes which representPan-European capital market and local Central and Eastern European capital market. Differentmarket characteristics could limit the application of results presented in numerous studiesperformed on well-established markets. The information with relatively strong signal for investoris the inclusion to CSR index. In order to measure the investors’ reaction the event study analysiswas performed. It was proved that the short–term reaction was very similar on each market. Thereaction to announcement of CSR index inclusion was slightly negative, but this effect was offsetby the opposite reaction in the day of inclusion. The total reaction in the seven days event windowwas close to zero. However, the long-term reaction measured in 30 trading days window wasnegative for two markets, but the local market investors show more discontent.

7

The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange

80%

Wójtowicz T., Mitterer C.

Central European Journal of Economic Modelling and Econometrics

|

2021

|

issue 3

8

An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology

80%

Wareluk E.

Management and Business Administration. Central Europe

|

2013

|

vol. 21

|

issue 4(123)

25-54

EN

Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market. Methodology: For my analysis I use the event study methodology. Using the event study methodology I calculate abnormal stock returns and abnormal credit default swap premium changes. The analysis is based on 175,874 observations collected for 92 companies between the years 2001 and 2010. Findings: The results show that the information fl ow from the credit default swap market to the stock market is the most signifi cant in terms of negative rating outlooks. The information fl ow is much less signifi cant in relations to negative surprises during announcements of annual fi nancial results and rating upgrades. Evidence of insider trading is also most evident with reference to negative rating outlooks. Additionally, a distinctive feature of the credit default swap market and the stock market is the asymmetric response to negative and positive credit information. Research limitations: The event study methodology does not consider other potentially important reasons for the information flow between markets than the ones actually investigated. The credit events and credit risk information used in this research are just a proposal and can be extended by future researchers. Originality: This paper discusses a new research area. The main research area in terms of insider trading is still the stock market, with special focus on the US market. I decided to explore the insider trading phenomenon in the credit default swap market. I only considered contracts that are quoted with reference to European underlying assets. This part of the fi nancial market is attractive in terms of economic research as credit derivatives are more commonly used not only in North America but also in Europe.

9

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

80%

Gurgul H., Hastenteufel J., Wójtowicz T.

Statistics in Transition new series

|

2021

|

vol. 22

|

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.

10

Event Study in the Evaluation of Effects of Mergers and Acquisitions

80%

Perepeczo A.

Folia Oeconomica Stetinensia

|

2007

|

vol. 6

|

issue 1

107-122

EN

The paper presents the essence of the methodology of event study used in developed markets to evaluate post-acquisition performance based on the market data. In particular, the paper discusses the issues of abnormal returns and expected return models, presenting also selected examples of post-acquisition performance in developed markets. At the end, the author has addressed the issue of contemporary tendencies in the event study methodology.

11

Stock Market Reaction to CEO Appointment – Preliminary Results

80%

Byrka-Kita K., Czerwiński M., Preś-Perepeczo A.

Journal of Management and Business Administration. Central Europe

|

2017

|

issue 2

23-42

EN

Stock Market Reaction to CEO Appointment – Preliminary Results

12

MACROECONOMIC INDICATORS FORECASTS ACCURACY AND REACTION OF INVESTORS ON THE WSE

80%

Wójtowicz T.

Metody Ilościowe w Badaniach Ekonomicznych

|

2015

|

vol. 16

|

issue 2

142-151

EN

Every day analysts and news agencies publish forecasts of important macroeconomic indicators. When the announced value of an indicator differs from its forecast, investors must revise their strategies. The strength of investors’ reaction depend on the difference between expectations and the true value of the indicator. In this paper we analyze the reaction of investors on the WSE to U.S. macroeconomic news announcements. We compare the strength of the reaction when forecasts are based on information from different financial services.

13

Wpływ opublikowanej rekomendacji na reakcję inwestorów

80%

Polak K.

Studia i Materiały

|

2018

|

issue 1(27) cz. 2

127-135

EN

The aim of the research was to analyze the influence of published stock market recommendations on the behavior of share prices of companies listed on the Warsaw Stock Exchange in the WIG20 index. The presented research examined 364 recommendations from January 2015 to December 2016. The analysis was carried out using the event study methodology to determine the impact of a given event on the behavior of share prices.

PL

Celem artykułu jest analiza wpływu opublikowanych rekomendacji giełdowych na zachowanie się kursu akcji spółek notowanych na Warszawskiej Giełdzie Papierów Wartościowych wchodzących w skład indeksu WIG20. Badaniu poddano 364 depesze o wydaniu rekomendacji w latach 2015–2016 opublikowane na stronie www.infostrefa.com. W badaniu posłużono się klasyczną analizą zdarzeń w celu określenia wpływu danego zdarzenia na zachowanie się kursów akcji.

14

The Competitors’ Response to a Bankruptcy Filing Announcement Made by a Stock-Listed Company Depending on Sector Characteristics

71%

Krzeczewska O.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

|

2021

|

vol. 55

|

issue 1

EN

The main aim of the article is to determine how the bankruptcy filing announcement of a stock listed company affects the market valuation of its competitors, depending on sector characteristics. An event study was conducted on the example of returns to shares of companies comprised in the WIG index and operating in 9 sectors. It is indicated that the bankruptcy filing announcement is quickly (within one day) incorporated into the share prices of competitors of the announcing firm. It is confirmed that the direction of market reaction toward share prices of competitors is differentiated by the characteristics of the sector. Averaged results show that the competitive effect occurs in the sectors with a high level of concentration, while the contagion effect is noted in sectors with low concentration. Companies from sectors characterized by low leverage experience the competitive effect. No information transfer was found for a group of companies in sectors characterized by high leverage.

PL

The main aim of the article is to determine how the bankruptcy filing announcement of a stock listed company affects the market valuation of its competitors, depending on the sector characteristic. An event study was conducted on the example of returns to shares of companies comprised in the WIG index and operating in 9 sectors. It is indicated that the bankruptcy filing announcement is quickly (within one day) incorporated into the share prices of competitors of the announcing firm. It is confirmed that the direction of market reaction toward share prices of competitors is differentiated by the characteristics of the sector. Averaged results show that the competitive effect occurs in the sectors with a high level of concentration, while the contagion effect is noted in sectors with low concentration. Companies from sectors characterized by low leverage experience the competitive effect. No information transfer was found for a group of companies in sectors characterized by high leverage.

15

World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

70%

Angosto-Fernández P. L., Ferrández-Serrano V.

Economics and Business Review

|

2022

|

vol. 8

|

issue 4

5-38

EN

The aim of the paper is to analyse the impact of the new coronavirus on financial markets. The sample comprises returns from 80 countries, across all regions and incomes for the period known as the first wave. By combining event study methodology and time series analysis of new COVID-19 cases it is found that the negative price effect is widespread but unequal across regions. It is also noted that the distribution of the impact is also uneven with a high concentration in the week after the first local case but especially in the weeks around the pandemic declaration. Finally, it has been shown at different levels how the markets most affected by the crisis are not necessarily the most sensitive to the virus.

16

The issuer and investor credit ratings – the impact on the stock prices

70%

Chodnicka-Jaworska P.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

|

2018

|

issue 519

40-52

EN

The basic goal of the article is to analyse the impact of credit rating changes on the rates of return on banks’ shares, considering the entity that asked for assigning a credit rating. The following hypotheses are proposed: banks’ share prices react stronger to the investor-paid credit rating changes. the strongest impact of the banks’ credit rating changes is observed for a downgrade, for both the issuer and the investor credit ratings, while a stronger significant reaction is observed after the moment of publication. The analysis was prepared on the Thomson Reuters Database. The analysis was carried out on data from the years 1980 to 2015, for banks from the European countries, by using event study methods.

17

The “Magic Action” of Stock Splits: Evidence from the Warsaw Stock Exchange 2003–2017

70%

Podgórski B., Pasierbek K.

Central European Management Journal

|

2020

|

vol. 28(1)

66-80

EN

Purpose: Many researchers claim that split has a positive effect on stock returns. However, if we observe more closely, we notice that this is only an accounting procedure. Therefore, the question arises as to whether stock prices should change. To answer this problem, we checked the market reaction to the division of shares on the Warsaw Stock Exchange. Methodology: To verify our hypotheses, we used the event study analysis. Based on the Sharpe market model, we assumed that the price of the asset determines systematic risk and specific risk. Findings: On the basis of conducted analyses, we found a positive market reaction to the first split information, while the announcement of General Meeting of Shareholders (GMS) resolutions generated a price correction. Moreover, split events initially caused an increase in abnormal returns. The research results are consistent with the efficient market hypothesis. Research limitations: The sample size does not give an opportunity to check the impact of economic cycles. During the last 15 years, we found only 75 events of splits without any disruption event. Originality: Analysis of three dates: information about the planned general meeting of shareholders regarding the split, publication of decisions taken at the general meeting, and the day of the split.

18

Reakcja inwestorów giełdy hiszpańskiej na zamknięcie granic. Weryfikacja za pomocą metodyki analizy zdarzeń

70%

Ulmann K., Roszkowski F.

Finanse i Prawo Finansowe

|

2021

|

vol. 4

|

issue 32

83-96

EN

The purpose of the article/hypothesis: The aim of the article is to examine the significance of the reaction of stock exchange investors in that country to the publication of information about the reintroduction of border controls in order to limit the movement of people, especially foreigners. The article discusses issues related to economics and behavioral finance, paying special attention to the irrationality of decisions, discussed by many authors, under the influence of various factors. Methodology: In the case of the empirical study, event analysis methodologies were applied, using abnormal and cumulative abnormal rates of return. Results of the research: The results of a detailed analysis of events, based on overnormative single-period logarithmic rates of return and cumulative over-normative single-period logarithmic rates of return for an event, showed an interesting case contradicting the thesis on irrationality of investor behavior in the capital market, while questioning the efficient market hypothesis.

19

ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET

70%

Kliber P.

Finansowy Kwartalnik Internetowy e-Finanse

|

2014

|

vol. 10

|

issue 2

28-37

EN

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by minimizing the sum of squares of pricing errors. Obtained results are then compared with the model based on a single lognormal distribution. As an example we consider changes in risk neutral distribution at the beginning of March 2014, after the outbreak of political crisis in the Crimea.

20

Short- and Long-Term Effects of Innovations on Enterprise Market Value: A Case of the Tourism Industry

70%

Szutowski D., Bednarska M. A.

Journal of Entrepreneurship, Management and Innovation

|

2014

|

vol. 10

|

issue 4

45-64

EN

Innovations seem crucial for contemporary enterprises willing to achieve the objective of increasing firm’s value. The aim of this paper is to examine, both conceptually and empirically, the relationship between innovations and tourism enterprises’ market value. Tourism sector was taken into consideration in order to fulfill the existing research gap. This focused paper was based on relevant market data. Event study and calendar time portfolio approaches were chosen to test investors’ responses to innovation announcements. Six tourism companies listed on the Main Market of Warsaw Stock Exchange were examined within the six years research period and 34 innovation announcements were identified. Polish Press Agency database and Warsaw Stock Exchange databases were used to collect data. Results indicate that innovations affected positively investors’ valuation of tourism enterprises. The average event day market value change equaled 0.63% and differed considerably from the one-year one of 3.02% meaning that investors adjust their initial reaction over time. Initially investors reacted mostly to marketing, distributional and external relations innovations while within one-year period they attributed the most value to marketing and external relations ones.

Refine search results

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

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

The reaction of the WSE to U.S. employment news announcements.

Sovereign credit ratings and CDS spreads in Emerging Europe

Can the publication of annual financial reports become an opportunity for insider trading?

INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?

The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange

An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Event Study in the Evaluation of Effects of Mergers and Acquisitions

Stock Market Reaction to CEO Appointment – Preliminary Results

MACROECONOMIC INDICATORS FORECASTS ACCURACY AND REACTION OF INVESTORS ON THE WSE

Wpływ opublikowanej rekomendacji na reakcję inwestorów

The Competitors’ Response to a Bankruptcy Filing Announcement Made by a Stock-Listed Company Depending on Sector Characteristics

World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

The issuer and investor credit ratings – the impact on the stock prices

The “Magic Action” of Stock Splits: Evidence from the Warsaw Stock Exchange 2003–2017

Reakcja inwestorów giełdy hiszpańskiej na zamknięcie granic. Weryfikacja za pomocą metodyki analizy zdarzeń

ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET

Short- and Long-Term Effects of Innovations on Enterprise Market Value: A Case of the Tourism Industry