ABSTRACT
Macroeconomic information affects entire markets and is therefore closely watched by investors. The Warsaw Stock Exchange (WSE), as other stock markets in Europe, is influenced by information about the state of the U.S. economy. However, it should also be affected by news from the EU countries, particularly from Germany. In this chapter, the changes in the impact of unexpected macroeconomic news from the United States and Germany on stock prices on the WSE over the last 20 years are analyzed. Applying event study methodology to intraday data of WIG20 and mWIG40 allows one to examine changes in the significance and strength of a reaction of stock prices in the first few minutes after news announcements.
