Chuliá, Helena; Martens, Martin; Dijk, Dick van - In: Journal of Banking & Finance 34 (2010) 4, pp. 834-839
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....