Simultaneous Monetary Policy Announcements and International Stock Markets Response: An Intraday Analysis

Abstract

The views expressed in this paper are those of the author and do not necessarily reflect the views of the Bank of Finland.

Intraday jumps and US macroeconomic news announcements

“…The relationships between macroeconomic fundamentals and financial markets have been analysed for many years, especially with the recent availability of high frequency data (see Andersen and Bollerslev, 1998;Andersen et al, 2003Andersen et al, , 2007b. Interesting recent investigations have focussed and the effect of news announcements on price discovery in the foreign exchange market (Chen and Gau, 2010) and the high frequency effects of monetary policy announcements (Chuliá et al, 2010;Rosa, 2011;Hussain, 2011) Given the strong evidence for the presence of jumps in financial markets and the extreme reactions in financial markets to macroeconomic news announcements, this paper merges these literatures by investigating the extent to which macroeconomic announcement surprises coincide with statistically significant intraday jumps. The existing evidence detects multiple intraday jumps, but investigates stock markets that are closed at the times of scheduled macroeconomic data announcements.…”

Impact of Government Budget Announcement on Stock Market Sector Indices: Evidence from Colombo Stock Exchange

“…A study conducted by Andritzky, Bannister and Tamirisa [1] to measure the impact of macroeconomic announcements on emerging bond markets reveals that the effect of the announcement is lesser in countries with more transparent policies and higher credit ratings. Hussain [6] confirms that European and US stock markets have an immediate and significant influence on stock index returns and volatility, for monetary policy decisions and macroeconomic news announcements.…”

Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

“…They identified the existence of an asymmetric relationship between monetary policy and stock prices with all of the aforementioned countries except for Thailand (Ivrendi et al, 2012). Hussain (2010) estimated the return and volatility of European countries including France, Germany, Switzerland, and the United Kingdom and the U.S. equity indices as a result of monetary policy decisions and macroeconomic news announcements, which included intraday data during the period lasting from 2000 to 2008. He found that monetary policy actions instantly and significantly affected the stock prices and volatilities in both the US and European Markets (Hussain, 2010).…”

“…Hussain (2010) estimated the return and volatility of European countries including France, Germany, Switzerland, and the United Kingdom and the U.S. equity indices as a result of monetary policy decisions and macroeconomic news announcements, which included intraday data during the period lasting from 2000 to 2008. He found that monetary policy actions instantly and significantly affected the stock prices and volatilities in both the US and European Markets (Hussain, 2010). In another study, Fakra (2009) used intraday data during the 1994 to 2005 period to analyze the impact of U.S. Monetary Policy on the level and conditional volatility of S&P 500 Index.…”