Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Henryk Gurgul; Jessica Hastenteufel; Tomasz Wójtowicz

doi:10.21307/stattrans-2021-037

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Henryk Gurgul Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Cracow, Poland ORCID:https://orcid.org/0000-0002-6192-2995 , Jessica Hastenteufel Department of Business and Management, IU International University of Applied sciences, Bad Honnef, Germany ORCID:https://orcid.org/0000-0002-4386-5771 , Tomasz Wójtowicz Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Cracow, Poland ORCID:https://orcid.org/0000-0002-9742-3493 Statistics in Transition new series, vol. 22, 2021, 4, pages: 41-58 Published online: 8 December 2021 DOI 10.21307/stattrans-2021-037

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ABSTRACT

Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004- 2019 we study the changes in significance and in the strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On the basis of the event study analysis, we describe the reaction of the WIG20 index in the first few minutes after these kinds of announcements.

KEYWORDS

event study, macroeconomic announcements, intraday data, Warsaw Stock Exchange

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