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Intraday volatility responses to monetary policy events

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  • Asger Lunde

    ()

  • Allan Zebedee

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11408-009-0114-1
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 23 (2009)
Issue (Month): 4 (December)
Pages: 383-399

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Handle: RePEc:kap:fmktpm:v:23:y:2009:i:4:p:383-399

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Monetary policy; Exchange traded funds; Intraday volatility; High-frequency data; C22; G11; G12;

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References

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  1. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
  2. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June.
  3. Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
  4. Lobo, Bento J, 2000. "Asymmetric Effects of Interest Rate Changes on Stock Prices," The Financial Review, Eastern Finance Association, vol. 35(3), pages 125-43, August.
  5. Joel T. Krueger & Kenneth N. Kuttner, 1995. "The Fed funds futures rate as a predictor of Federal Reserve policy," Working Paper Series, Macroeconomic Issues 95-4, Federal Reserve Bank of Chicago.
  6. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  7. Philipp Hildebrand, 2006. "Monetary Policy and Financial Markets," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 7-18, April.
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Cited by:
  1. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
  2. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.

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