Effects of Federal Funds Target Rate Changes on Stock Prices

It is well-known that financial markets respond quickly to the announcements of changes in the Federal Funds target rate. This paper examines the stock price reaction of individual stocks listed under the Dow Jones Industrial Average to Federal Funds target rate change announcements using daily stock returns over the period 1996-2007. We measure such reactions using an event-study methodology to analyze the impact of changes in the Federal Funds target rate on individual stock returns using several event windows. We group the 30 individual stocks into 8 sectors and analyze the reaction of each sector to changes in the Federal Funds target rate. Results indicate that, on average, the impact of a Federal Funds target rate decrease on stocks is positive while the reaction of a Federal Funds target rate increase is negative

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Year of publication:	2011
Authors:	Ekanayake, E. M.
Other Persons:	Robin Rance, Robin Rance (contributor) ; Halkides, Mihalis (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Geldmarkt \| Money market \| Zins \| Interest rate \| Ankündigungseffekt \| Announcement effect \| Zinspolitik \| Interest rate policy

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The International Journal of Business and Finance Research, Vol. 2, No. 1, pp. 13-29, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013133955