Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations

被引:104
作者
Chulia, Helena [2 ]
Martens, Martin [3 ]
van Dijk, Dick [1 ]
机构
[1] Erasmus Univ, Inst Econometr, NL-3062 PA Rotterdam, Netherlands
[2] Univ Oberta de Catalunya, Dept Econ & Business, E-08035 Barcelona, Spain
[3] Erasmus Univ, Dept Finance, NL-3062 PA Rotterdam, Netherlands
关键词
Monetary policy announcements; Interest rate surprises; High-frequency data; Realized volatility; MONETARY-POLICY; MARKETS REACTION; EQUITY MARKETS; NEWS; INFORMATION; SURPRISES; BOND;
D O I
10.1016/j.jbankfin.2009.09.012
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the effects of FOMC announcements of federal funds target rate decisions on individual stock returns, volatilities and correlations at the intraday level. For all three characteristics we find that the stock market responds differently to positive and negative target rate surprises. First, the average response to positive surprises (that is, bad news for stocks) is larger. Second, in case of bad news the mere occurrence of a surprise matters most, whereas for good news its magnitude is more important. These new insights are possible due to the use of high-frequency intraday data. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:834 / 839
页数:6
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