| Abstrakt: |
This work seeks to investigate the impact of macroeconomic news announcements on sector data, i.e., sector index volatility and returns, and provide comparison between the individual sectors and the market as a whole, i.e., a market index. Macroeconomic news is considered to be an important source of systematic risk in financial markets. While the phenomenon itself is regularly researched, including investigation of various regions, for example investigation of US and Germany by Funke (2006), comparative investigation of EU area by Maria, Spagnolo, and Spagnolo (2016), or a study of US macro news influence on emerging markets by Cakan, Doytch, and Upadhyaya (2015), literature investigating specific sectors appears to be rare. Even though there are several studies focused on specific markets, such as Wan, Clutter, Siry, and Mei (2013), comparative analysis of multiple sectors seems to be lacking. |
