文章基本信息

标题：The Impact of US Macroeconomic News on thePrices of Single Stocks on the Vienna StockExchange
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作者：Henryk Gurgul ; Christoph Mitterer ; Tomasz Wójtowicz 等
期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2021
期号：3
页码：287-329
DOI：10.24425/cejeme.2021.139799
语种：English
出版社：Polska Akademia Nauk
摘要：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.
关键词：event study;macroeconomic announcements;intraday data