Asymmetric effects of federal funds target rate changes on S&P100 stock returns,volatilities and correlations |
| |
| Authors: | Helena Chuliá Martin Martens Dick van Dijk |
| |
| Institution: | 1. Department of Economics and Business, Universitat Oberta de Catalunya, E-08035, Barcelona, Spain;2. Department of Finance, Erasmus University Rotterdam, Burg. Oudlaan 50, NL-3062 PA, Rotterdam, The Netherlands;3. Econometric Institute, Erasmus University Rotterdam, Burg. Oudlaan 50, NL-3062 PA, Rotterdam, The Netherlands |
| |
| Abstract: | 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. |
| |
| Keywords: | E44 E52 G14 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
