- Tytuł:
- THE REACTION OF INTRADAY WIG RETURNS TO THE U.S. MACROECONOMIC NEWS ANNOUNCEMENTS
- Autorzy:
-
Gurgul, Henryk
Suliga, Milena
Wojtowicz, Tomasz - Powiązania:
- https://bibliotekanauki.pl/articles/453331.pdf
- Data publikacji:
- 2013
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
event study
macroeconomic announcements intraday data - Opis:
- 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.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 1; 150-159
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki