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Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements

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  • Gurgul, Henryk
  • Suliga, Milena
  • Wójtowicz, Tomasz

Abstract

The relationship between information flows and changes in asset prices is one of the main issues of financial economics. A fundamental assumption of the market efficiency hypothesis is that investors react to new information as it arrives. This reaction results in price changes that reflect investors' expectations concerning the level of risk and rates of return. The main aim of this paper is to investigate the effect of U.S. macroeconomic data announcements about inflation, industrial production and unemployment on the trading volume and prices of the most liquid stocks listed on the Warsaw Stock Exchange in the period 2004-2011. Using event study methodology we determine when and how forecasts and investor expectations regarding future market conditions changes under the influence of incoming macroeconomic data on the U.S. economy. This methodology also allows us to describe the strength, direction and length of the impact of announcements about these macroeconomic indicators.

Suggested Citation

  • Gurgul, Henryk & Suliga, Milena & Wójtowicz, Tomasz, 2012. "Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements," MPRA Paper 68578, University Library of Munich, Germany, revised 2012.
    • Handle: RePEc:pra:mprapa:68578
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    Cited by:

    1. Henryk Gurgul & Jessica Hastenteufel & Tomasz Wójtowicz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 22(4), pages 41-58, December.
    2. Urbański, Stanisław & Zarzecki, Dariusz, 2022. "The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects," Economic Systems, Elsevier, vol. 46(1).
    3. Henryk Gurgul & Christoph Mitterer & Tomasz Wójtowicz, 2021. "The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(3), pages 287-329, September.
    4. Gurgul Henryk & Hastenteufel Jessica & Wójtowicz Tomasz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Statistics Poland, vol. 22(4), pages 41-58, December.
    5. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
    6. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.

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    More about this item

    Keywords

    event study; macroeconomic announcements; inflation; industrial production; unemployment; abnormal returns; trading volume;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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