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The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange

Author

Listed:
  • Henryk Gurgul

    (Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology)

  • Christoph Mitterer

    (Capital Solutions Advisory GmbH)

  • Tomasz Wójtowicz

    (Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technolog)

Abstract

Recent studies have shown that announcements of information about the state of the US economy have had a significant impact on European stock markets. However, the importance of information about the US economy may vary in time. In order to analyze this issue, we examine the impact of announcements of unexpected US macroeconomic news on the prices of selected stocks listed on the Vienna Stocks Exchange. On the basis of the 5-minute returns of 13 stocks we examine how the strength and the significance of the reactions of investors to unexpected macroeconomic news from the US has changed over the last 15 years. Event study methodology allows us to describe precisely such reactions in the first minutes after news announcements.

Suggested Citation

  • Henryk Gurgul & Christoph Mitterer & Tomasz Wójtowicz, 2021. "The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(3), pages 287-329, September.
    • Handle: RePEc:psc:journl:v:13:y:2021:i:3:p:287-329
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    References listed on IDEAS

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    More about this item

    Keywords

    event study; macroeconomic announcements; intraday data;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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