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Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty

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  • Nikkinen, Jussi
  • Sahlstrom, Petri

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  • Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 1-12.
  • Handle: RePEc:eee:finana:v:13:y:2004:i:1:p:1-12
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    References listed on IDEAS

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    1. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    2. Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 31-56, March.
    3. Chen, Carl R. & Mohan, Nancy J. & Steiner, Thomas L., 1999. "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 897-924, June.
    4. Lobo, Bento J, 2000. "Asymmetric Effects of Interest Rate Changes on Stock Prices," The Financial Review, Eastern Finance Association, vol. 35(3), pages 125-143, August.
    5. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-569.
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
    9. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
    10. Gerald R. Jensen & Robert R. Johnson & W. Scott Bauman, 1997. "Federal Reserve Monetary Policy and Industry Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 629-644.
    11. Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, vol. 52(5), pages 405-421.
    12. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    13. Ederington, Louis H. & Lee, Jae Ha, 1996. "The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(04), pages 513-539, December.
    14. Donders, Monique W. M. & Vorst, Ton C. F., 1996. "The impact of firm specific news on implied volatilities," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1447-1461, November.
    15. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
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    Cited by:

    1. R. López & E. Navarro, 2013. "Interest rate and stock return volatility indices for the Eurozone. Investors' gauges of fear during the recent financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1419-1432, September.
    2. Krieger, Kevin & Mauck, Nathan & Vazquez, Joseph, 2015. "Comparing U.S. and European market volatility responses to interest rate policy announcements," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 127-136.
    3. López, Raquel, 2015. "Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 292-303.
    4. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
    5. Steeley, James M. & Matyushkin, Alexander, 2015. "The effects of quantitative easing on the volatility of the gilt-edged market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 113-128.
    6. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
    7. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
    8. Geppert, Gero & Kamerschen, David R., 2008. "The effect of mergers on implied volatility of equity options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 330-344.
    9. Smales, Lee A. & Yang, Yi, 2015. "The importance of belief dispersion in the response of gold futures to macroeconomic announcements," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 292-302.
    10. Smales, Lee A., 2014. "Political uncertainty and financial market uncertainty in an Australian context," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 415-435.
    11. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
    12. Julia Darby & Graeme Roy, 2017. "Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum," Working Papers 1706, University of Strathclyde Business School, Department of Economics.
    13. repec:eco:journ1:2017-05-14 is not listed on IDEAS
    14. repec:eee:finana:v:52:y:2017:i:c:p:281-291 is not listed on IDEAS

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