美国宏观经济新闻对金融市场影响的变化——以华沙证券交易所为例

Q4 Mathematics

Statistics in Transition Pub Date : 2021-12-01 DOI:10.21307/stattrans-2021-037

H. Gurgul, Jessica Hastenteufel, T. Wójtowicz

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引用次数: 0

摘要

摘要由于美国经济的高度重要性，过去，美国宏观经济数据的公布对整个金融市场，特别是欧洲股市产生了重大影响。然而，由于这种影响可能随时间变化，本文考察了美国宏观经济新闻对华沙证券交易所主要指数WIG20影响的变化。基于2004-2019年的盘中数据，我们研究了WIG20对描述美国经济的13个指标的意外值宣布的反应的重要性和强度的变化。在事件研究分析的基础上，我们描述了WIG20指数在这类公告发布后的最初几分钟内的反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Abstract Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004-2019 we study the changes in significance and in the strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On the basis of the event study analysis, we describe the reaction of the WIG20 index in the first few minutes after these kinds of announcements.

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来源期刊

Statistics in Transition Decision Sciences-Statistics, Probability and Uncertainty

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

9 weeks

期刊介绍： Statistics in Transition (SiT) is an international journal published jointly by the Polish Statistical Association (PTS) and the Central Statistical Office of Poland (CSO/GUS), which sponsors this publication. Launched in 1993, it was issued twice a year until 2006; since then it appears - under a slightly changed title, Statistics in Transition new series - three times a year; and after 2013 as a regular quarterly journal." The journal provides a forum for exchange of ideas and experience amongst members of international community of statisticians, data producers and users, including researchers, teachers, policy makers and the general public. Its initially dominating focus on statistical issues pertinent to transition from centrally planned to a market-oriented economy has gradually been extended to embracing statistical problems related to development and modernization of the system of public (official) statistics, in general.