Central Bank Actions and Words: The Intraday Effects of FOMC Policy Communications on Individual Equity Volatility and Returns
Author:
Affiliation:
1. Saint Joseph's University
2. Drew University
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/fire.12143/fullpdf
Reference37 articles.
1. Selling and trading on information in financial markets;Admati;American Economic Review,1988
2. Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns;Andersen;Journal of Finance,1997
3. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;The Journal of Finance,1998
4. Intraday and interday volatility in the Japanese Stock Market;Andersen;Journal of International Financial Markets, Institutions and Money,2000
5. Micro effects of macro announcements: Real-time price discovery in foreign exchange;Andersen;American Economic Review,2003
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Does Fed communication affect uncertainty and risk aversion?;Review of Quantitative Finance and Accounting;2024-08-22
2. Uncertainty and corporate investments in response to the Fed's dual shocks;Financial Review;2023-04-04
3. Correlation Analysis of Central Bank Communication Behavior and Monetary Policy Independence Based on VR Technology and Machine Learning;Communications in Computer and Information Science;2022
4. The Early Bird Catches the Intraday Trend;The Journal of Investing;2021-11-05
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3