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The impact of US macroeconomic news on the Polish stock market

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  • Henryk Gurgul
  • Tomasz Wójtowicz

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. Copyright The Author(s) 2014

Suggested Citation

  • Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
    • Handle: RePEc:spr:cejnor:v:22:y:2014:i:4:p:795-817
    DOI: 10.1007/s10100-014-0343-x
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    Cited by:

    1. Henryk Gurgul & Jessica Hastenteufel & Tomasz Wójtowicz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 22(4), pages 41-58, December.
    2. Stanis³aw Urbañski & Iwona Skalna, 2017. "CAPM applications for appropriate stock pricing – impact of speculation companies," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 227-245.
    3. Kočenda, Evžen & Moravcová, Michala, 2018. "Intraday effect of news on emerging European forex markets: An event study analysis," Economic Systems, Elsevier, vol. 42(4), pages 597-615.
    4. Jarosław Duda & Henryk Gurgul & Robert Syrek, 2022. "Multi-feature evaluation of financial contagion," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(4), pages 1167-1194, December.
    5. Henryk Gurgul & Lukasz Lach & Tomasz Wójtowicz, 2016. "Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements: Evidence from Central Europe," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 217-240.
    6. 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.
    7. Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
    8. Tomasz Wojtowicz, 2016. "Intraday patterns in time-varying correlations among Central European stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 149-162.
    9. Tzu-Yi Yang & Yu-Tai Yang, 2015. "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 361-383, June.
    10. Anna Czapkiewicz & Tomasz Wojtowicz, 2017. "Spatial contagion between stock markets in Central Europe," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 23-46.
    11. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
    12. Gurgul Henryk & Hastenteufel Jessica & Wójtowicz Tomasz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 22(4), pages 41-58, December.
    13. Marcin Suder & Tomasz Wójtowicz & Rafał Kusa & Henryk Gurgul, 2023. "Challenges for ATM management in times of market variability caused by the COVID-19 pandemic crisi," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 445-465, June.

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    More about this item

    Keywords

    Event study; Macroeconomic announcements; Intraday data; G14; E44;
    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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