How o Define Macroeconomic Announcement Surprises? An Example of the Impact f US Macroeconomic News on Stock Prices on the Warsaw Stock Exchange

• Autorzy: Tomasz Wójtowicz
• Języki publikacji: EN

Abstrakty

EN

The definition of a news surprise plays a crucial role in the analysis of the impact of unexpected macroeconomic news announcements. In this paper, we study the properties of the most com-monly used measure of news surprise, defined as the difference between the announced and expected value of the indicator. Due to the high vulnerability of this measure to outliers, we consider alternative definitions of macroeconomic surprises. Based on the analysis of announce-ments of 15 American macroeconomic indicators, we show that taking into account the hetero-geneity of analysts' forecasts or the variability of the previous surprises, noticeably improves the properties of the distribution of surprise measures. An additional study performed with the use of a dynamic model proves a strong linear relationship between surprise measures and WIG20 returns in the first five minutes after news announcements.(original abstract)

Słowa kluczowe

EN

Macroeconomics; Macroeconomic indicators

PL

Makroekonomia; Wskaźniki makroekonomiczne

• Czasopismo: Managerial Economics
• Rocznik: 2022
• Tom: 23
• Numer: nr 1
• Strony: 77--98

Twórcy

autor

Tomasz Wójtowicz

• AGH Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie

Bibliografia

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Identyfikatory

DOI

10.7494/manage.2022.23.1.77