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Central bank communication and correlation between financial markets : Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … communication by the Bank of Canada and the Federal Reserve significantly affect the co-movement of financial markets. We find that … stock markets as well as between Canadian and US financial markets. -- Bank of Canada ; Central Bank Communication …
Persistent link: https://www.econbiz.de/10009409360
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Volume Dynamics around FOMC Announcements
Zhu, Xingyu Sonya - 2021
The stock market volume decreases in anticipation of FOMC announcements and increases afterward. I find, in the cross-section, that stocks with higher market risk exposure experience greater volume changes. I also find that volume dynamics around FOMC announcements are unlikely to be...
Persistent link: https://www.econbiz.de/10013242579
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The Information Content of Trading Activity and Quote Changes : Evidence from VIX Options
Tsai, Wei-Che - 2017
We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...
Persistent link: https://www.econbiz.de/10012957300
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High-frequency Trading around Reserve Bank of Australia (RBA) Announcements
Hua, Vinh Duc Anh - 2019
We study high-frequency trading (HFT) activities and their consequent price impacts on the ASX around RBA announcement. RBA announcement provides an ideal setting for studying the speed advantage of high-frequency traders (HFTs), as the announcement has significant impact on stock prices and...
Persistent link: https://www.econbiz.de/10012894509
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Monetary policy, COVID-19 immunization, and risk in the US stock markets
Baek, Seungho; Lee, Kwan Yong - In: Cogent economics & finance 10 (2022) 1, pp. 1-12
We examine how monetary policy of the Federal Reserve System, COVID-19 mortality cases, and vaccinations are associated with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that there is a positive relationship between the volatility...
Persistent link: https://www.econbiz.de/10014500407
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Stock market evidence on the international transmission channels of US monetary policy surprises
Maurer, Tim Dominik; Nitschka, Thomas - 2021
This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
Persistent link: https://www.econbiz.de/10012520011
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Stock market spillovers via the global production network: transmission of U.S. monetary policy
Di Giovanni, Julian; Hale, Galina - 2020
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of fifty-four sectors in twenty-six countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover...
Persistent link: https://www.econbiz.de/10012309215
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Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach
Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012025335
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What explains the stock market's reaction to the federal reserve policy?
Bernanke, Ben (contributor); Kuttner, Kenneth N. (contributor) - 2003 - [Elektronische Ressource]
This paper analyzes the impact of unanticipated changes in the federal funds rate target on equity prices, with the aim of both estimating the size of the typical reaction and understanding the reasons for the market's response. We find that over the June 1989-December 2002 sample period, a...
Persistent link: https://www.econbiz.de/10001909010