STOCK MARKET REACTION TO NEWS ON MACROECONOMIC GROWTH. AN EVENT STUDY ANALYSIS AT THE BUCHAREST STOCK EXCHANGE

The main objective of the paper is to develop research instruments in order to test the link between economic growth and the evolution of capital market, with application on the Romanian economy. The novelty consist in the use of a capital market analysis methodology to identify how much the evolution of macroeconomic aggregates affects the investors' perception about general economic development. We propose an event-study methodology that uses daily movements in the capital index around moment when press communicates are released by the National Institute of Statistics concerning the economic growth in the past quarters and the forecasting press communicates released by the National Commission for Forecasting concerning future movements in the GDP growth or monthly estimates for the economic environment indicators in previous months. By running this event study we show that for Romania there is a causality relation from capital market to the economic growth.