THE APPLICATION OF DISCRIMINANT ANALYSIS IN FORECASTING OF INVESTORS' REACTION TO MACROECONOMIC NEWS ANNOUNCEMENTS
THE APPLICATION OF DISCRIMINANT ANALYSIS IN FORECASTING OF INVESTORS' REACTION TO MACROECONOMIC NEWS ANNOUNCEMENTS
Author(s): Tomasz WójtowiczSubject(s): Economy, Supranational / Global Economy, Policy, planning, forecast and speculation, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: macroeconomic news announcements; intraday data; discriminant analysis; nonfarm payrolls;
Summary/Abstract: Macroeconomic news announcements, particularly concerning the U.S. economy, have a significant impact on stock markets. Recent studies show that stock prices react significantly as soon as macroeconomic news is announced. However, the strength of the reaction and its duration depends on the market and on the news announced. In this paper, we study the applicability of discriminant analysis in the prediction of direction of changes of the main indices of stock exchanges in Warsaw and Vienna after release of the Employment Report by the U.S. Bureau of Labor Statistics.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 2
- Page Range: 252-260
- Page Count: 9
- Language: English