The Impact of Macro News on Volatility of Stock Exchanges

• Autorzy: Barbara Będowska-Sójka

Warianty tytułu

Wpływ ogłoszeń makroekonomicznych na zmienność rynków akcji

• Języki publikacji: EN

Abstrakty

EN

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using high-frequency 5-minute returns from 2009-2010 we show that the periodical patterns of the German and the Polish main indices is very similar and their reaction to the macroeconomic announcements too. In both cases the domestic and neighbor-country announcements are much less important comparing to American releases. (original abstract)

Celem artykułu jest zbadanie wpływu ogłoszeń makroekonomicznych z trzech krajów, Stanów Zjednoczonych, Niemiec i Polski na zmienność śróddziennych indeksów DAX i WIG20. Dla obu indeksów opisano wzorzec zmienności i zastosowano elastyczną postać Fouriera w modelowaniu szeregów. W stosunkowo krótkim przedziale czasowym pięciu minut w obu indeksach zaobserwowano silną reakcję na ogłoszenia ze Stanów, a w niemieckim indeksie DAX słabszą reakcję na ogłoszenia niemieckie. Dla polskiego WIG20 nie wychwycono w tak krótkim interwale czasowym reakcji na polskie ogłoszenia. Dodatkowo oba indeksy nie reagują na ogłoszenia z rynku kraju sąsiadującego. (abstrakt oryginalny)

Słowa kluczowe

EN

Economic situation; Equity market; Stock market indexes

PL

Sytuacja gospodarcza; Rynek akcji; Indeks giełdowy

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2011
• Tom: 11
• Strony: 99--110

Twórcy

autor

Barbara Będowska-Sójka

• Poznań University of Economics, Poland

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Identyfikatory

DOI

10.12775/DEM.2011.007