The impact of US macroeconomic news on intraday stock prices of individual companies on the Warsaw Stock Exchange

被引：0

作者：

Gurgul, Henryk ^{[1
]}

Wojtowicz, Tomasz ^{[1
]}

机构：

[1] AGH Univ Krakow, Fac Management, Dept Applicat Math Econ, Al Mickiewicza 30, PL-30059 Krakow, Poland

来源：

CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH | 2025年

关键词：

Event study; US macroeconomic announcements; Intraday data; Warsaw Stock Exchange; G14; E44; MARKETS REACTION; GLOBAL STOCK; ANNOUNCEMENTS; DISCOVERY; RETURNS; EVENT; BOND;

D O I：

10.1007/s10100-025-00962-3

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper analyzes the impact of U.S. economic announcements on stock prices of major companies on the Warsaw Stock Exchange. Using event study methodology and intraday data from April 2013 to August 2023, it reveals that unexpected U.S. news-particularly CPI releases-affects the prices of the most liquid stocks within 5 min post-announcement, with cumulative impacts observed over the following minutes. The analysis shows differentiated responses based on liquidity levels, with more liquid stocks reacting first. Additionally, by examining subperiods, the study identifies significant shifts in WSE investor responses during the COVID-19 pandemic and the war in Ukraine, including an asymmetrical reaction to negative versus positive news.

引用

页数：29

共 42 条

[1] Low frequency effects of macroeconomic news on government bond yields [J].