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The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange

Henryk Gurgul (), Christoph Mitterer and Tomasz Wójtowicz

MPRA Paper from University Library of Munich, Germany

Abstract: Recent studies have shown that announcements of US macroeconomic news had significant impact on European stock markets. However, importance of information about the US economy may vary in time. In order to analyze this issue we examine impact of announcements of unexpected US macroeconomic news on the prices of selected stocks listed on the Vienna Stocks Exchange. Based on 5-minute returns of 13 stocks we examine how the strength and the significance of reaction of investors to unexpected macroeconomic news form the US has changed in the recent 15 years. Application of event study methodology allows us precisely describe such reaction in 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: 2020-10-04
New Economics Papers: this item is included in nep-mac and nep-mst
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