The Response of Intraday ATX Returns to U.S. Macroeconomic News

Linkages between important news and asset price movements as a response to released information is one of the main issues in financial market theory and practice. The goal of this paper is to study the impact of U.S. macroeconomic data announcements on the prices of the most liquid shares quoted on the Vienna Stock Exchange. On the basis of intraday data, we verify the significance of changes implied by releases of ten important indicators describing the U.S. economy. Using nonparametric rank tests in the framework of event study methodology, we determine when investors on the VSE react to new information. This approach makes it possible to assess the strength, direction and duration of the impact of U.S. macroeconomic data announcements.