The Application of Discriminant Analysis in Forecasting of Investors' Reaction to Macroeconomic News Announcements

• Autorzy: Tomasz Wójtowicz
• Języki publikacji: EN

Abstrakty

EN

Macroeconomic news announcements, particularly concerning the U.S. economy, have a significant impact on stock markets. Recent studies show that stock prices react significantly as soon as macroeconomic news is announced. However, the strength of the reaction and its duration depends on the market and on the news announced. In this paper, we study the applicability of discriminant analysis in the prediction of direction of changes of the main indices of stock exchanges in Warsaw and Vienna after release of the Employment Report by the U.S. Bureau of Labor Statistics. (original abstract)

Słowa kluczowe

EN

Forecasting; Discriminant analysis; Stock market indexes; Shares prices

PL

Prognozowanie; Analiza dyskryminacyjna; Indeks giełdowy; Ceny akcji

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2014
• Tom: 15(XV)
• Numer: nr 2
• Strony: 252--260

Twórcy

autor

Tomasz Wójtowicz

• AGH University of Science and Technology Kraków, Poland

Bibliografia

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