Evaluation of the Unemployment Rate Announcement Impact on Euro Stoxx 50 Index Returns Based on Semi-Strong Efficient Market Hypothesis

Abstract

In this paper are evaluating the impact of unemployment rate announcement on the Euro Stoxx 50 index returns on the basis of a semi-strong efficient market hypothesis. Analyzing and summarizing previous researches of semi-strong market efficiency find, that there are various studies analyzing the returns of stock market depending on corporate financial statements announcement, but there are only a few that analyze the returns of stock market of macroeconomic announcement, and especially announcement about the unemployment rate. In this study the semi-strong effective market hypothesis is determined in a very short time interval of 5 minutes from 11:00 to 11:04, therefore the MKAR, RAR methods to determine the Euro Stoxx 50 index returns are used. The originality of the study is that the values of the models were calculated on the basis of high frequency data, not daily data. In this empirical research non-zero values of MKAR, RAR models were obtained, which indicate that in the analyzed 4/4/2018 - 1/4/2019 period the Euro Stoxx 50 index is not a semi-strong effective based on of unemployment rate announcement. It was also found that Euro Stoxx 50 index returns on the fifth minute (11:04) after the unemployment rate announcement realize (11:00) can earn more, or less than the comparable stock market indexes returns.