EconPapers    
Economics at your fingertips  
 

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

Milena Suliga () and Tomasz Wójtowicz ()
Additional contact information
Milena Suliga: AGH University of Science and Technology, Department of Applications of Mathematics in Economics

Managerial Economics, 2013, vol. 14, 165-176

Abstract: Stock markets react to various information. One of the most important information concerns macroeconomic data because it describes the state of the economy. The U.S. is the world’s largest economy and thus American macroeconomic news announcements strongly affects European stock markets. In this paper we investigate the reaction of stock prices on the Warsaw Stock Exchange to values of macroeconomic indicators published in the Employment Report by the U.S. Bureau of Labor Statistics. We study the impact of macroeconomic indicators separately as well as interrelations between them. It allows us to specify which of the indicators under study is the most informative. We analyze the impact of information about the state of the labor market in the U.S. in the period from January 2004 to November 2012. In order to describe duration, direction and significance of the impact we apply the event study analysis to intraday returns of WIG – the main index of WSE.

Keywords: event study; macroeconomic announcements; unemployment; nonfarm payrolls (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
https://journals.agh.edu.pl/manage/article/view/1001/796 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:14:y:2013:p:165-176

Access Statistics for this article

Managerial Economics is currently edited by Henryk Gurgul

More articles in Managerial Economics from AGH University of Science and Technology, Faculty of Management Contact information at EDIRC.
Series data maintained by Lukasz Lach ().

 
Page updated 2017-09-29
Handle: RePEc:agh:journl:v:14:y:2013:p:165-176