Price jumps in developed stock markets : the role of monetary policy committee meetings

Rangan Gupta; Chi Keung Marco Lau; Ruipeng Liu; Hardik A. Marfatia

doi:10.1007/s12197-018-9444-z

Price jumps in developed stock markets : the role of monetary policy committee meetings

Rangan Gupta, Chi Keung Marco Lau, Ruipeng Liu, Hardik A. Marfatia

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we analyze the jump intensity in the Euro area, Japan, the UK and the US and measure their reactions to the US Federal Reserve meetings together with the country’s own monetary policy meetings. Evidence suggests that the jump intensity in all the markets is highly persistent. Further, the US monetary policy positively impacts the jump intensity in almost all the cases, including in the sub-sample periods found by the structural break test. Moreover, in assessing the joint effects on jump intensities, we find that the US policy dominates the monetary policy of the country itself.

Original language	English
Pages (from-to)	298-312
Number of pages	15
Journal	Journal of Economics and Finance
Volume	43
Issue number	2
DOIs	https://doi.org/10.1007/s12197-018-9444-z
Publication status	Published - 15 Apr 2019

Bibliographical note

Funding Information:
We would like to thank two anonymous referees for many helpful comments. However, any remaining errors are solely ours.

Publisher Copyright:
© 2018, Springer Science+Business Media, LLC, part of Springer Nature.

Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.

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Price jumps in developed stock markets : the role of monetary policy committee meetings

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