Responses of the Warsaw Stock Exchange to the U.S. Macroeconomic Data Announcements

Gurgul, Henryk; Suliga, Milena; Wójtowicz, Tomasz

doi:10.7494/manage.2012.12.41

Cited by 4 publications

(6 citation statements)

References 31 publications

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“…The impact of US macroeconomic data on the Polish stock market is analyzed by Gurgul et al (2012). They study the reaction of the daily returns of the WIG20 (the main index of the Warsaw Stock Exchange) to announcements about CPI, the Unemployment Rate and Industrial Production in the US.…”

Section: Literature Reviewmentioning

confidence: 99%

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The impact of US macroeconomic news on the Polish stock market

Gurgul

Wójtowicz

2014

Cent Eur J Oper Res

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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.

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Section: Literature Reviewmentioning

confidence: 99%

“…However, the impact of macroeconomic announcements from highly developed economies on emerging equity markets in Central and Eastern Europe has been the subject of few contributions (e.g. Nikkinen et al 2006;Gurgul et al 2012).…”

Section: Introductionmentioning

confidence: 99%

The impact of US macroeconomic news on the Polish stock market

Gurgul

Wójtowicz

2014

Cent Eur J Oper Res

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“…However, this observation may have been caused by the application of data from the early period of the development of equity markets in the CEE region. This observation is supported by opposite results shown by Gurgul et al (2012). Based on data from January 2004 to December 2011, Gurgul et al (2012) pointed out a significant reaction of daily returns of the WIG20 to unexpected news about inflation and industrial production in the United States.…”

Section: Literature Reviewmentioning

confidence: 91%

“…This observation is supported by opposite results shown by Gurgul et al (2012). Based on data from January 2004 to December 2011, Gurgul et al (2012) pointed out a significant reaction of daily returns of the WIG20 to unexpected news about inflation and industrial production in the United States.…”

Section: Literature Reviewmentioning

confidence: 91%

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

Gurgul

Hastenteufel²,

Wójtowicz

2021

Statistics in Transition New Series

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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.

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“…Empirical evidence from those studies points towards the existence of statistically significant reactions to the central banks' communication, although the reported effects vary across markets segments and instruments. [7] Regarding the research in this field specifically for Poland using the data about macroeconomic announcements, previous publications include Ziarko-Siwek (2004), Janecki (2012), Gurgul et al (2012), Kubacki (2014), Kapuściński et al (2014), Będowska-Sójka (2016) and Baranowski and Gajewski (2016), among others.…”

Section: Literature Reviewmentioning

confidence: 99%

Central bank's communication and markets' reactions: Polish evidence

Brzeszczyński

Gajdka

Schabek

et al. 2021

IJOEM

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PurposeThis study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.Design/methodology/approachEmpirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.FindingsBonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.Practical implicationsThe findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.Originality/valueThe results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.

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Responses of the Warsaw Stock Exchange to the U.S. Macroeconomic Data Announcements

Cited by 4 publications

References 31 publications

The impact of US macroeconomic news on the Polish stock market

The impact of US macroeconomic news on the Polish stock market

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

Central bank's communication and markets' reactions: Polish evidence

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