واکنش نامتقارن قیمت سهام مهمانداری به اقدامات سیاست بانک فدرال

This paper examines asymmetric response of hospitality stock prices to Fed monetary policy actions in bull and bear markets. Empirical examinations comprise two critical steps. First, following Kuttner (2001), this study uses the federal funds target rate surprise as an appropriate identification of Fed monetary policy action. Second, by using a Markov-switching model of stock returns, this study explicitly identifies bull and bear markets. Empirical test results based on an event study framework reveal that the responses of airline, gambling, hotel and travel and leisure index returns to monetary policy surprises vary greatly in bear and bull markets. The response of airline, gambling and hotel index returns is substantially greater and more statistically significant in bear than in bull markets. Moreover, the significant impact of monetary policy surprises on airline, gambling and hotel index returns exists only in bear markets. While travel and leisure index return reacts strongly to federal funds target rate surprises in both bear and bull markets, the response of travel and leisure index return is significantly greater in bear markets.