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Vliv zveřejněných makroekonomických informací na cenový vývoj na akciovém trhu

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Název: Vliv zveřejněných makroekonomických informací na cenový vývoj na akciovém trhu
Autoři: BOROVKA, Štěpán
Informace o vydavateli: 2025.
Rok vydání: 2025
Témata: analýza událostí, tržní efektivita, S&P 500, macroeconomic factors, market efficiency, makroekonomické faktory, abnormální výnosy, abnormal returns, event study
Popis: This thesis examines the impact of macroeconomic informations and the impact of their announcements on the price performance of a portfolio of stocks, being represented by the S&P 500 index. The impact was analyzed based on announcement of GDP, unemployment rate, interest rates and inflation data between 2021 and 2024. For the analysis, the method of event study was used to observe the immediate and overall market reactions. The analysis included the formulation of null and alternative hypotheses, where the acceptance of the null hypothesis implies the confirmation of semi-strong form of market efficiency. The evaluation showed that the reactions of S&P 500 to macroeconomic announcements were inconsistent and often deviated from patterns reported in the literature. Statistical testing of the resulting values in the form of AAR0, CAAR-1 and CAAR10 at the 5% signif-icance level led to the acceptance of the null hypothesis in most cases, implying that the impact of announce-ments on the S&P 500 index was, with few exceptions, statistically non-significant and often lost in market volatility. The paper concludes by summarizing the limitations of the method used that may have affected the accuracy of the results.
Druh dokumentu: Master thesis
Jazyk: Czech
Přístupová URL adresa: http://www.nusl.cz/ntk/nusl-680268
Přístupové číslo: edsair.od......2186..d6b8c209157e577084ea2b57ef5a417c
Databáze: OpenAIRE
Popis
Abstrakt:This thesis examines the impact of macroeconomic informations and the impact of their announcements on the price performance of a portfolio of stocks, being represented by the S&P 500 index. The impact was analyzed based on announcement of GDP, unemployment rate, interest rates and inflation data between 2021 and 2024. For the analysis, the method of event study was used to observe the immediate and overall market reactions. The analysis included the formulation of null and alternative hypotheses, where the acceptance of the null hypothesis implies the confirmation of semi-strong form of market efficiency. The evaluation showed that the reactions of S&P 500 to macroeconomic announcements were inconsistent and often deviated from patterns reported in the literature. Statistical testing of the resulting values in the form of AAR0, CAAR-1 and CAAR10 at the 5% signif-icance level led to the acceptance of the null hypothesis in most cases, implying that the impact of announce-ments on the S&P 500 index was, with few exceptions, statistically non-significant and often lost in market volatility. The paper concludes by summarizing the limitations of the method used that may have affected the accuracy of the results.