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| Author: | Bomfim, A. N. |
| Title: | Pre-announcement effects, news effects, and volatility: monetary policy and the stock market |
| Journal: | Journal of Banking and Finance
2003 : JAN, VOL. 27:1, p. 133-151 |
| Index terms: | Monetary policy Stock markets Financial risk Uncertainty |
| Freeterms: | GARCH |
| Language: | eng |
| Abstract: | The paper examines pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet - conditional volatility is abnormally low - on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years. |
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