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Tytuł artykułu

Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements

Treść / Zawartość
Identyfikatory
Warianty tytułu
PL
Reakcje warszawskiej giełdy papierów wartościowych na ogłoszenia danych makroekonomicznych z USA
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.
PL
Związek pomiędzy napływem informacji a zmianami cen papierów wartościowych jest jednym z głównych zagadnień ekonometrii finansowej. Podstawowym założeniem hipotezy efektywności rynku finansowego jest przekonanie o szybkiej reakcji inwestorów w odpowiedzi na napływające informacje. Reakcja ta prowadzi do zmiany cen walorów odzwierciedlających oczekiwania inwestorów odnośnie do poziomu ryzyka i stóp zwrotu. Celem artykułu jest zbadanie wpływu ogłoszeń danych makroekonomicznych dotyczących inflacji, produkcji przemysłowej i bezrobocia w USA na wielkość obrotów i ceny akcji największych spółek notowanych na GPW w Warszawie w latach 2004-2011. Przeprowadzone badania wykorzystujące metodologię analizy zdarzeń pozwalają ocenić, kiedy i jak pod wpływem napływających danych dotyczących gospodarki USA zmieniają się prognozy oraz oczekiwania inwestorów dotyczące przyszłej sytuacji na rynku Umożliwiają one również ocenę siły, kierunku i długości oddziaływania ogłoszeń każdego z badanych wskaźników.
Wydawca
Rocznik
Tom
Strony
41--59
Opis fizyczny
Bibliogr. 43 poz., tab.
Twórcy
autor
  • AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics
autor
  • AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics
  • AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-ede18495-6134-4230-b623-3a1d097382df
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