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

Henryk Gurgul, Christoph Mitterer () and Tomasz Wójtowicz ()
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Christoph Mitterer: Capital Solutions Advisory GmbH
Tomasz Wójtowicz: Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technolog

Central European Journal of Economic Modelling and Econometrics, 2021, vol. 13, issue 3, 287-329

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.

Keywords: event study; macroeconomic announcements; intraday data (search for similar items in EconPapers)
JEL-codes: E44 G14 (search for similar items in EconPapers)
Date: 2021
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Related works:
Working Paper: The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:13:y:2021:i:3:p:287-329

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