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

Summary/Abstract: 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.

• Details
• Contents