Research Discussion Papers, Bank of Finland
No 8/2010:
Simultaneous monetary policy announcements and international stock markets response: an intraday analysis
Syed Mujahid Hussain ()
Abstract: This paper investigates the return and volatility
responses of major European and the US equity indices to monetary policy
surprises using extensive intraday data on 5-minute price quotes along with
a comprehensive dataset on monetary policy decisions and macroeconomic
news. Our results show that monetary policy decisions generally exert an
immediate and significant influence on stock index returns and volatilities
in both European US markets. Our findings also indicate that European
Central Bank’s (ECB) press conferences following monetary policy decisions
on the same day have define impacts on European index return volatilities,
implying that they convey important information to market participants.
However, in contrast to some earlier evidence, we do not find any support
for the hypothesis that return volatilities in European and US markets are
significantly affected by the path surprises. Overall, our analysis
suggests that the use of high frequency data is critical for separating the
effects of monetary policy actions from those of macroeconomic news
announcements on stock index returns and volatilities.
Keywords: conditional mean; conditional volatility; macroeconomic news; monetary policy; high frequency data; (follow links to similar papers)
JEL-Codes: G14; G15; (follow links to similar papers)
32 pages, March 10, 2010
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
1008netti.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
