Szczegóły publikacji
Opis bibliograficzny
The impact of US macroeconomic news on the Polish stock market : the importance of company size to information flow / Henryk GURGUL, Tomasz WÓJTOWICZ // Central European Journal of Operations Research ; ISSN 1435-246X. — 2014 — vol. 22 iss. 4, s. 795–817. — Bibliogr. s. 817, Abstr. — Publikacja dostępna online od: 2014-03-23
Autorzy (2)
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 85933 |
|---|---|
| Data dodania do BaDAP | 2014-11-20 |
| Tekst źródłowy | URL |
| DOI | 10.1007/s10100-014-0343-x |
| Rok publikacji | 2014 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Creative Commons | |
| Czasopismo/seria | Central European Journal of Operations Research |
Abstract
This paper investigates the impact of US macroeconomic news announcements on the intraday returns of Warsaw Stock Exchange indices. The WSE is the largest and the most liquid stock market among the new European Union member countries. By means of an event study we examine the response of three indices, namely the WIG20, the mWIG40 and the sWGI80, describing the stock price behavior of the largest, medium-sized and small firms, respectively. The results of the empirical analysis show that the stock prices of the largest firms react in the first minute after a news release. This indicates the relatively high efficiency of the WSE. The response of smaller firms' stock returns is slower but more persistent. The most influential are the announcements of Nonfarm Payrolls describing the US labor market. The indices of the WSE react similarly to good and bad news about the US economy.
