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Abstract

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.
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Authors and Affiliations

Tomasz Wójtowicz
1
Henryk Gurgul
1
Christoph Mitterer
2

  1. Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Cracow, Poland
  2. Capital Solutions Advisory GmbH, Graz, Austria

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