The Reaction of Intraday WIG Returns to the U.S. Macroeconomic News Announcements

• Autorzy: Henryk Gurgul , Milena Suliga , Tomasz Wójtowicz
• Języki publikacji: EN

Abstrakty

EN

This paper analyses the reaction of stock returns on the Warsaw Stock Exchange to U.S. macroeconomic news announcements. The study is conducted on the basis of five-minute returns of WIG from January 2004 to December 2012. This nine-year period includes different stages of economic cycle and additionally the global financial crisis. Hence results of our analysis are not limited only to contraction or expansion and can be applied to bull and bear market. The application of event study analysis allows us to measure not only the strength of the impact of information release but also its duration. (original abstract)

Słowa kluczowe

PL

Warszawski Indeks Giełdowy (WIG); Stopa zwrotu akcji; Analiza giełdowa; Analiza zdarzeń

EN

Warsaw Stock Exchange Index; Stock rate of returns; Stock exchange analysis; Event study

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2013
• Tom: 14(XIV)
• Numer: nr 1
• Strony: 150-159

Twórcy

autor

Henryk Gurgul

• AGH University of Science and Technology Kraków, Poland

autor

Milena Suliga

• AGH University of Science and Technology Kraków, Poland

autor

Tomasz Wójtowicz

• AGH Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie

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