The reaction of the WSE to U.S. employment news announcements

Suliga, Milena; Wójtowicz, Tomasz

doi:10.7494/manage.2013.14.165

Cited by 3 publications

(2 citation statements)

References 9 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, as Andersen et al (2007) show, Nonfarm Payrolls is one of the most significant macroeconomic indicators to describe the US unemployment situation. Similar conclusions follow from the research of Suliga and Wójtowicz (2013).…”

Section: Announcementssupporting

confidence: 87%

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

Self Cite

View full text Add to dashboard Cite

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.

show abstract

Section: Announcementssupporting

confidence: 87%

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

Self Cite

View full text Add to dashboard Cite

show abstract

“…Among other issues, the impact of such events as fake news (Clarke et al 2019), the publication of stock market recommendations (Liu et al 1990), information on mergers (Rosen 2006;Keown andPinkerton 1981), earnings (De Bondt 2000), stock splits (Gulen and Hwang 2012), dividends (Michaely et al 1995), corporate strategy, customers and partners, products and services, management changes, legal developments (Neuhierl et al 2013), unexpected deaths of senior corporate executives (Johnson et al 1985), corporate governance news (Brogi and Lagasio 2018), regulatory changes (Lamdin 2001), new share issues (Barclay and Litzenberger 1988), the occurrence of price shocks (Zawadowski et al 2006), news about the R&D process (Perez-Rodriguez and Valcarcel 2012), COVID-19 outbreak (Pandey and Kumari 2021), fraud announcements (Sharma and Verma 2020), political events (Aktas and Oncu 2006) or information about the publication of macroeconomic data (Hanousek et al 2009) were analysed. In Poland, several studies using event analysis have also been carried out to evaluate, among other issues, the reaction of stock prices or stock indices to information concerning forecasted and achieved profits, dividend policy, analysts' opinions, changes in stock index composition (Gurgul 2019), departure of a key person in the enterprise (Bielicki 2013), stock splits (Fiszeder and Mstowska 2011), changes of the reference rate (Filipowicz 2013) and the macroeconomic situation in the United States; (Będowska-Sójka 2010;Suliga and Wójtowicz 2013). Such effects were often examined in the ultra-short, short and long-term (Kothari and Warner 2007;Yang 2013).…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland

Prusak

Potrykus

2021

Risks

View full text Add to dashboard Cite

This study aims to check market reaction to filing for bankruptcy and restructuring proceedings and to verify the short-term effect of a price reversal in the Polish market in the years 2004–2019. The research was conducted by dividing the analysed companies according to the procedure (bankruptcy and restructuring) and market (the main market and the NewConnect market). The research methodology used in the study is the event analysis method (AR, CAR, AAR and CAAR rates were used in the research), with a few statistical tests (T-test, Generalized rank Z Test, Generalized rank T-Test, Patell or Standardized Residual Test, Kolari and Pynnönen adjusted Patell or Standardized Residual Test). It was found that share prices in the Polish share market react quickly to public information about filing an application for bankruptcy or restructuring. For all analysed companies, the mean rate of return on the event day was equal to −14%, and on the next day, it was −3%. Regardless of the type of share market and the form of proceedings, the reversal effect was not confirmed in the short term. It was found that cumulative above-average rates of return fall more strongly for companies listed on the less liquid Newconnect market (−23.6%), and when information on the filing for bankruptcy proceedings is provided (−28.5%), as opposed to the main market (−19.1%) and restructuring proceedings (−17%). The cumulative average rate of return for all analysed companies in the research period (−2, +10 days) was equal to −20.6%.

show abstract

Wpływ Informacji Z Usa Na Śróddzienną Sezonowość Na Przykładzie Spółki KGHM

Wójtowicz¹

2019

QME

View full text Add to dashboard Cite

Intensity of trading on stock markets is characterized by a visible intraday seasonality pattern. In the case of European markets, this seasonality is strongly influenced by announcements of information about the US economy. In this paper we study the impact of these publications on intraday seasonality of trading volume and volatility of KGHM returns in the period from 2001 to 2016. The analysis concerns both the strength and the length of the impact of new, important information.

show abstract

The reaction of the WSE to U.S. employment news announcements

Cited by 3 publications

References 9 publications

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

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

Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland

Wpływ Informacji Z Usa Na Śróddzienną Sezonowość Na Przykładzie Spółki KGHM

Contact Info

Product

Resources

About