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

Rangan Gupta, Chi Keung Lau, Ruipeng Liu, Hardik Marfatia

Research output: Contribution to journalArticle

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.
LanguageEnglish
Pages298-312
Number of pages15
JournalJournal of Economics and Finance
Volume43
Issue number2
Early online date6 Jul 2018
DOIs
Publication statusPublished - Apr 2019

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Monetary policy committees
Jump
Stock market
Monetary policy
Euro area
Japan
Structural break tests
Federal Reserve
Policy impact

Cite this

Gupta, Rangan ; Lau, Chi Keung ; Liu, Ruipeng ; Marfatia, Hardik . / Price jumps in developed stock markets : the role of monetary policy committee meetings. In: Journal of Economics and Finance. 2019 ; Vol. 43, No. 2. pp. 298-312.
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Price jumps in developed stock markets : the role of monetary policy committee meetings. / Gupta, Rangan ; Lau, Chi Keung; Liu, Ruipeng; Marfatia, Hardik .

In: Journal of Economics and Finance, Vol. 43, No. 2, 04.2019, p. 298-312.

Research output: Contribution to journalArticle

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