Dopad ekonomických zpráv na výkonnost aktiv: Důkazy z akciových trhů a směnných kurzů

The thesis examines the impact of scheduled GDP, CPI, and MPR announcements on the performance of the SP500, EUR/USD exchange rate and 10-year U.S. treasury yield (used as proxies for the stock, fx, and bond markets). The primary objective is to determine whether these macroeconomic announcements generate statistically meaningful impact in the asset prices, whether the effects differ across asset classes, and whether market responses become stronger during periods of financial stress. To achieve this, the study uses a regression-based event-study framework using daily financial data. OLS regressions with Newey–West heteroskedasticity and autocorrelation consistent standard errors are estimated to examine announcement effects. The study then compares crisis and non-crisis periods using historically defined crisis episodes and the CBOE Volatility Index (VIX). In addition, momentum-augmented regressions are used to assess the robustness of the results. Overall, the results suggest that monetary policy announcements represent the most influential category of macroeconomic information for financial markets and that the impact of macroeconomic news varies substantially across asset classes and market regimes. The study contributes to the literature by providing a comprehensive cross-asset analysis of announcement effects and by demonstrating how alternative measures of uncertainty influence the observed relationship between macroeconomic information and financial-market behaviour.