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

被引：103

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

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 04期

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

页码：834 / 839

页数：6

共 6 条

[1] The reaction of stock returns to unexpected increases in the federal funds rate target
Tsai, Chun-Li
[J]. JOURNAL OF ECONOMICS AND BUSINESS, 2011, 63 (02) : 121 - 138
[2] Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey
Tiryaki, Ahmet
Ceylan, Resat
Erdogan, Levent
[J]. APPLIED ECONOMICS, 2019, 51 (20) : 2143 - 2154
[3] The Impact of the Interest Rate on Insurance/Financials Industries: The Analysis of the Stock Market's Reactions to Federal Funds Rate Changes
Yang, Charles
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2013, 17 (01) : 29 - 40
[4] THE EFFECT OF CHANGES IN THE FEDERAL-FUNDS RATE TARGET ON MARKET INTEREST-RATES IN THE 1970S
COOK, T
HAHN, T
[J]. JOURNAL OF MONETARY ECONOMICS, 1989, 24 (03) : 331 - 351
[5] The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolay
Jamali, Ibrahim
[J]. JOURNAL OF EMPIRICAL FINANCE, 2012, 19 (04) : 497 - 510
[6] The Asymmetric Effects of Official Interest Rate Changes on China's Stock Market During Different Market Regimes
Lv, Xin
Dong, Weijia
Fang, Fang
[J]. EMERGING MARKETS FINANCE AND TRADE, 2015, 51 (04) : 826 - 841

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