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<p>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.</p>

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The impact of U.S. macroeconomic news on intraday stock prices of individual companies on the Warsaw Stock Exchange

  • 期刊论文

  • 发表日期：

    2025年2月16日

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  • Henryk Gurgul,
  • Tomasz Wójtowicz

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.