In this paper, we provide an intraday analysis of the impact of monetary policy on the equity markets. Specifically, we study changes in prices and changes in volatility for the Samp;P 500 associated with Federal Open Market Committee announcements as well as real-time changes in market...

We examine the impact of monetary policy on the Samp;P 500 using intraday data. The analysis shows an economically and statistically significant relationship between Samp;P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude of the response is dependent...

This paper explores the effects of US monetary policy events on intraday volatility in the US equity markets. We examine Federal Open Market Committee (FOMC) announcements as well as real-time changes in market expectations about future policy announcements and their impact on the intraday...

Convertible bond calls typically cause significant reactions in equity prices. The empirical research largely finds negative and positive announcement effects for the in-the-money and the out-of-the-money calls respectively. However, this research has difficulty distinguishing between the two...