Event Study: Intraday Impact of Macroeconomic and Corporate Events on the US Stock Market. Bachelorarbeit

Transcription

1

2 Event Study: Intraday Impact of Macroeconomic and Corporate Events on the US Stock Market Bachelorarbeit zur Erlangung des akademischen Grades Bachelor of Science (B.Sc.) im Studiengang Wirtschaftswissenschaften der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover vorgelegt von Name: Buchholz Vorname: Daniel Geb. am: in: Hannover und Name: Bukies Vorname: Robert Geb. am: in: Hannover Prüfer: Prof. Dr. von Mettenheim Hannover, den

3 Abstract This paper focuses on the trading possibilities of events for an intraday time horizon. For the study, the impact of ten periodic macroeconomic events as well as the release of the earnings announcement report on four ETFs and five companies was measured and analyzed. The results showed that eight of the macroeconomic events had a significant impact on at least one company or ETF, respectively. These events always affected the price during the first minute after the release of the new information, but had no impact on any further returns. A significant difference for the standard deviation of returns for event time horizons was not measurable.

4 Contents List of Tables List of Figures II IV 1 Introduction (Robert Bukies) 1 2 Theoretical Background Intraday Trading (Daniel Buchholz) Event Study (Robert Bukies) Distribution of Returns (Robert Bukies) Analyzed Events (Robert Bukies) Macroeconomic Events Corporate Events ETFs and Corporations (Daniel Buchholz) ETFs Corporations Research Hypotheses (Daniel Buchholz) Analysing Procedure Data (Robert Bukies) Event Data ETF and Stock Data Set-Up of the Analysis (Daniel Buchholz) General Set-Up Testing Statistical Hypothesis #1 & # Testing Statistical Hypothesis # Testing Statistical Hypothesis # Testing Statistical Hypotheses #4, #5 & # Impact of Events (Daniel Buchholz and Robert Bukies) Overview of Event Impacts on the ETFs Distribution of the Returns

5 4.3 Results for Hypothesis # Results for Hypothesis # Results for Hypothesis # Results for Hypotheses #4 and # Results for Hypothesis # Results for Hypothesis # Usability of Events for Trading (Robert Bukies) 40 6 Conclusion (Daniel Buchholz) 41 A Appendix 42 Literature 49

6 1 Introduction This paper focuses on the combination of intraday trading and the event study methodology to establish an overview of the impacts selected macroeconomic and corporate events have on US stocks and exchange-traded funds (ETFs). Returns of Stocks and ETFs are analyzed for the dates and times new information was released at and are compared to returns of time horizons without these events. Intraday trading describes the method of investing in assets for a time horizon shorter than a day. Event study is the analysis of impacts new information has on the market. These two fields of study can be combined very well, because according to the Efficient Market Hypothesis the market should be adjusted to new information instantly. By taking different time horizons, the time for the adjustment, as well as the impact of the event, can be estimated. In other studies it can be seen that some events can cause returns to vary very rapidly. Approximately one third of the jumps in the US stock market is caused solely by US macroeconomic news announcements and another high percentage of the jumps is caused by corporate news. (Evans, 2011, pp. 2511) Therefore, because of these sudden jumps caused by events, they cannot be traded or analyzed with a long time lag, without having other influences biasing the returns. For the study, the US stock market, in combination with US macroeconomic and corporate events, was chosen, because of the importance of American companies and the existence and availability of event data. In the beginning of this paper background information about intraday trading, the event study methodology and the distribution of the returns are presented. Afterwards, analyzed macroeconomic and corporate events, as well as the selected ETFs and corporations are described. These descriptions are followed by an explanation of the analyzed data and process of the empirical study. At last, the results are described and interpreted and the influence these events have on trading are discussed. 1

7 There may also be a higher volatility, but this was not measurable for the one minute returns. If a higher volatility exists, it only exists in a smaller time horizon than the ones analyzed in this paper. 6 Conclusion Events have an impact on the price of ETFs and companies. Depending on the company the size of the impact is stronger or weaker, some companies are even affected significantly by impacts that have almost no impact on companies in other industries. The strongest impacts on average are caused on the financial sector and can lead to average price changes of 1.5% for companies like Morgan Stanley, depending on the event value increasing or decreasing. The strongest impacts on the economy as a whole is caused by the GDP announcements and the non-farm payrolls. But even though the impacts are significant, it is not possible to trade them after the first minute of the announcements, because they do not have an influence on the following returns. After testing possible volatility differences it can be assumed that there is no significant difference between the one minute return volatilities. Therefore, it would be interesting to see the same studies done for returns for time horizons smaller than a minute, to see in which time of this first minute the price changes take place. Furthermore, the data should be tested for data that covers more than the 13 years that were used in this paper. All in all, it can be said that the events have significant influences on the prices, but they are just tradeable on the intraday market for a time horizon of less than a minute after the event. 41