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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Financial Analysis, Volume 13, Issue 1, Spring 2004, Pages 1–12
This study investigates the impact of the scheduled Federal Open Market Committee (FOMC) meetings and the scheduled macroeconomic news releases on stock market uncertainty. For that purpose, the behavior of the implied volatility of the S&P100 index (VIX) is investigated around the FOMC meeting days and around the employment, producer price index (PPI), and consumer price index (CPI) reports. The results support the hypothesis that implied volatility increases prior to the scheduled news and drops after the announcement. The results reveal that investors regard the FOMC meetings as highly significant for valuing stocks as hypothesized. Of the macroeconomic news releases, the employment report has the largest impact on uncertainty, whereas investors regard the information content of the PPI and CPI together as significant.
This paper investigates uncertainty on the stock market around scheduled macroeconomic news announcements and scheduled Federal Open Market Committee (FOMC) meeting days. The monetary policy of the Federal Reserve affects macroeconomic variables, such as interest rates, directly and indirectly. The FOMC decides its policy in regular meetings. Shortly after each of its meetings, the FOMC issues a statement that includes its assessment of the economic outlook. In addition, information releases of macroeconomic variables, such as inflation rate and unemployment rate, have a great impact on the valuation of financial assets. Therefore, the market participants closely follow the announcements providing information on these macroeconomic variables and the FOMC's statements. Inasmuch as the dates of these news releases are known in advance, but not their contents, market uncertainty is affected by forthcoming releases.
نتیجه گیری انگلیسی
This study examines uncertainty in the stock market around scheduled macroeconomic news announcements and the FOMC meeting days, using data from the U.S. stock market. For that purpose, the behavior of the implied VIX of S&P100 was investigated around the employment, the PPI, and the CPI reports, and the FOMC meeting days. The results of the study support the hypothesis that implied volatility increases prior to the scheduled news release and decreases after the announcement. This indicates that the uncertainty regarding the content of these scheduled information releases is an important factor affecting the level of market uncertainty. The results reveal that investors regard the FOMC meetings as highly significant for valuing stocks as expected. Of the macroeconomic news releases, the employment report has the largest impact on the uncertainty, whereas the PPI and CPI separately do not significantly affect the uncertainty. However, the results suggest that investors regard their information content as a whole as significant. This is probably due to their similar information content, and because the PPI report is released first, it reveals a great part of the information content of the CPI report.