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

Henryk Gurgul, Jessica Hastenteufel, Tomasz Wójtowicz

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.

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Year of publication:	2021
Authors:	Gurgul, Henryk ; Hastenteufel, Jessica ; Wójtowicz, Tomasz
Published in:	Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland. - Warszawa : GUS, ISSN 2450-0291, ZDB-ID 2235641-1. - Vol. 22.2021, 4, p. 41-58
Subject:	event study \| macroeconomic announcements \| intraday data \| Warsaw Stock Exchange \| Ankündigungseffekt \| Announcement effect \| Polen \| Poland \| Börsenkurs \| Share price \| Börsenhandel \| Stock exchange trading \| Finanzmarkt \| Financial market \| Wirkungsanalyse \| Impact assessment \| USA \| United States \| Ereignisstudie \| Event study \| Schätzung \| Estimation

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.21307/stattrans-2021-037 [DOI] hdl:10419/266281 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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