Do NBP base rates announcements convey valuable information?

• Autorzy: Gurgul H. , Majdosz P.
• Języki publikacji: EN

Abstrakty

EN

In this paper, we try to throw light on the information content of base rates announcements released by the National Bank of Poland (NBP). Focusing our attention on the rediscount rate changes over the period from 1995 to 2003, we examine whether the abnormal behavior of stock returns and trading volume of the most liquid firms listed on the Warsaw Stock Exchange (WSE) can be identified in the surroundings of the NBP announcements. The statistical test used here is based on the excess returns (volume) defined as the difference between actual rate of return (volume) and expected rale of return (volume). To generate the expected returns (volume), we employ the ARMA(1,1)-GARCH(1,1) specification with additional represser, that is, return of the market portfolio (approximated by the market-capitalization weighted stock index called WIG) in the mean equation. The main finding is that the reversal of rediscount rate course has a significant impact on stock returns but not on trading volume.

Słowa kluczowe

EN

Poland National Bank base rates; banking; Warsaw Stock Exchange; economic indicators; stock markets; market portfolio; autoregressive moving average processes

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Systems Science
• Rocznik: 2005
• Tom: Vol. 31, no 1
• Strony: 105--116
• Opis fizyczny: Bibliogr. 7 poz., wykr.

Twórcy

autor

Gurgul H.

• Department of Applied Mathematics, University of Science and Technology, Kraków, Poland

autor

Majdosz P.

• Department of Quantitative Methods, School of Economy and Computer Science, Kraków, Poland

Bibliografia

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