File(s) under permanent embargo
Price jumps in developed stock markets: the role of monetary policy committee meetings
journal contributionposted on 2019-04-01, 00:00 authored by R Gupta, C K M Lau, Ruipeng LiuRuipeng Liu, H A Marfatia
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.