haku: @journal_id 780 / yhteensä: 133
viite: 6 / 133
| Tekijä: | Nikkinen, J. Sahlström, P. |
| Otsikko: | Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty |
| Lehti: | International Review of Financial Analysis
2004 : VOL. 13:1, p. 1-12 |
| Asiasana: | Stock markets Volatility Uncertainty Macroeconomics Models USA |
| Kieli: | eng |
| Tiivistelmä: | This study investigates the impact of the scheduled Federal Open Market Committee (FOMC) meetings and the scheduled macroeconomic news releases on stock market uncertainty. For that purpose, the behaviour of the implied volatility (here as: imp-vol.) of the S&P100 index (VIX) is investigated around the FOMC meeting days and around the employment, producer price index (PPI), and consumer price index (CPI) reports. The results support the hypothesis that imp-vol. increases prior to the scheduled news and drops after the announcement. The results reveal that investors regard the FOMC meetings as highly significant for valuing stocks as hypothesized. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty, whereas investors regard the information content of the PPI and CPI together as significant. |
SCIMA