Responses of the Warsaw Stock Exchange to the U.S. Macroeconomic Data Announcements

• Autorzy: Henryk Gurgul , Milena Suliga , Tomasz Wójtowicz
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Stock market; Stock exchange prediction; Macroeconomic indicators; Consumer price index (CPI); Unemployment rate; Industrial production

PL

Giełda papierów wartościowych; Prognozowanie notowań giełdowych; Wskaźniki makroekonomiczne; Indeks cen konsumpcyjnych; Stopa bezrobocia; Produkcja przemysłowa

• Czasopismo: Managerial Economics
• Rocznik: 2012
• Tom: 12
• Strony: 41--59

Twórcy

autor

Henryk Gurgul

• AGH University of Science and Technology Kraków, Poland

autor

Milena Suliga

• AGH University of Science and Technology Kraków, Poland

autor

Tomasz Wójtowicz

• AGH University of Science and Technology Kraków, Poland

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Identyfikatory

DOI

10.7494/manage.2012.12.41