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

Gurgul, Henryk and Mitterer, Christoph and Wójtowicz, Tomasz (2020): The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: event study, macroeconomic announcements, intraday data
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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