We study the impact of FOMC announcements of Federal funds target rate decisions on individual stock prices at the intraday level. We find that the returns, volatilities and correlations of the Samp;P100 index constituents only respond to the surprise component in the announcement, as measured...

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....