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

• Autorzy: Gurgul H. , Suliga M. , Wójtowicz T.

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.

Słowa kluczowe

EN

event study; macroeconomic announcements; inflation; industrial production; unemployment; abnormal returns; trading volume

PL

analiza zdarzeń; ogłoszenia makroekonomiczne; inflacja; bezrobocie; produkcja przemysłowa; ponadprzeciętne stopy zwrotu; wielkość obrotów

• Wydawca: Wydawnictwa AGH
• Czasopismo: AGH Managerial Economics
• Rocznik: 2012
• Tom: nr 12
• Strony: 41--59
• Opis fizyczny: Bibliogr. 43 poz., tab.

Twórcy

autor

Gurgul H.

• AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics

autor

Suliga M.

• AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics

autor

Wójtowicz T.

• AGH University of Science and Technology, Faculty of Management, Department of Application of Mathematics in Economics

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