出版社：Faculty of Economic Sciences, Hyperion University of Bucharest, Romania
摘要：Fama (1965) postulates that a market is efficient if the prices of the traded assets are an accurate estimator of their value. Moreover, the random walk hypothesis states that all the information available is included in the price of a certain asset. This paper aims to investigate if a series of macroeconomic announcements generates abnormal evolutions for Central and East European stock market indices and also for indices belonging to countries with solid and liquid financial markets. In order to achieve this objective, we use an event study that extends the methodology found in Albu et al (2014a). Our analysis is carried out both in terms of abnormal returns and abnormal variances. We find that the battery of macroeconomic announcements does not influence the dynamics of the indices considered in this study. In spite of this, our results point out strong effects in terms of abnormal variances, both for CEE and developed countries.
关键词：macroeconomic fundamentals; stock market indices; efficient markets; event study
