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

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

Author(s): Henryk Gurgul, Tomasz Wójtowicz, Milena Suliga
Subject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: event study; macroeconomic announcements; intraday data

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.

  • Issue Year: XIV/2013
  • Issue No: 1
  • Page Range: 150-159
  • Page Count: 10
  • Language: English
Toggle Accessibility Mode