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- Title
Central Bank Actions and Words: The Intraday Effects of FOMC Policy Communications on Individual Equity Volatility and Returns.
- Authors
Jubinski, Daniel; Tomljanovich, Marc
- Abstract
We compare intraday impacts of the release of Federal Reserve decision announcements and of Federal Open Market Committee minutes between 2004 and 2015 on 1,997 equity return and volatility series. We find that returns are unresponsive to either news release, but conditional volatility increases for both, manifesting immediately after each information release, and persisting for 30 minutes post-announcement. These effects are larger for decisions than for minutes. On stratifying firms by trading intensity, we find most 'high trading intensity' firms respond to these announcements, while 'low trading intensity' firms are less affected. Our results show that traders respond, albeit differently, to both sets of information releases.
- Subjects
CENTRAL banking industry; FEDERAL Reserve monetary policy; MARKET volatility; EQUITY participations; SECURITIES trading; ECONOMICS; FINANCE
- Publication
Financial Review, 2017, Vol 52, Issue 4, p701
- ISSN
0732-8516
- Publication type
Article
- DOI
10.1111/fire.12143