نوسانات ضمنی S & P 500و سیاست های پولی اطلاعیه ها

While many studies have investigated the link between macroeconomic events and equity market volatility, few have considered the impact on option implied volatilities. Given the recent focus on trading in implied volatility, in the context of the S&P 500 VIX index, this paper examines how the VIX index behaves around US monetary policy announcements. It is revealed that the VIX index falls significantly on the day of Federal Open Market Committee meetings.

There has been a great deal of research into the impact of macroeconomic announcements on equity markets, in terms of both returns and volatility. Evidence of links between the level of equity returns and macroeconomic announcements has been mixed. Cutler et al. (1989) and Jones et al. (2005) find no strong evidence of a relationship between equity returns and macroeconomic announcements. Whereas Goodhart and Smith (1985) and Joyce and Read (1999) find that UK equity returns react to a range of macroeconomic announcements. Evidence of the impact of announcements on equity volatility is also somewhat mixed. Jones et al. (2005) find some evidence of UK equity market volatility falling at the time of announcements, based on intraday futures data. Bomfim (2003) considers how US equity volatility reacts to US monetary policy announcements, specifically the surprise element in announcements. In doing so, Bomfim (2003) reveals quite a significant increase in daily volatility conditional on the surprise element. While there has been a great deal of research into the impact of announcements on physical equity markets, there has been relatively little into the impact on options markets. Kearney and Lombra (2004) find that S&P 100 implied volatility increases with the surprise element in employment announcements. Nikkinen and Sahlström (2004) find that S&P 100 implied volatility rises prior to, and falls after a series of macroeconomic announcements. This paper is related to Nikkinen and Sahlström (2004) in that we examine the behaviour of the returns on the VIX index (recently a tradable index relating to S&P 500 implied volatility) around FOMC board meetings. In summary, an interesting pattern is revealed in that the S&P 500 implied volatility index falls (around 2%) on the day of FOMC board meetings. No significant movements before or after the FOMC board meetings is detected. This finding is revealed irrespective of whether the FOMC changed US monetary policy conditions. While these results appear to suggest a profitable investment strategy, this is a question for future research. This is a slightly different finding to that of Nikkinen and Sahlström (2004) as they found that implied volatility rose in the period prior to, and fell on the day of various macroeconomic announcements. Reasons for these differences will be discussed in Section 4. The paper proceeds as follows: Section 2 outlines the data relevant to this study, Section 3 discusses the relevant econometric methodology used to determine the significance of the VIX returns in response to the monetary policy announcements, Section 4 presents empirical results, Section 5 concludes.

A number of research studies into the fundamental determinants of financial market volatility have been conducted. While the broad results of these studies have been somewhat mixed, a number have revealed a link between macroeconomic announcements and equity market volatility. An issue that has received far less attention is the link between macroeconomic announcements and the behaviour of option implied volatilities. This being an important issue as these have become tradable indices. Therefore, this paper has investigated the behaviour of S&P 500 implied volatility, as captured by the VIX index, surrounding monetary policy announcements. Overall, the results of this study show that the VIX index (and hence the S&P 500 options market) reacts in a systematic manner surrounding US monetary policy announcements. It has been found that the index falls on average by 2% on the day of Federal Open Market Committee meetings. No significant movements on days prior to or after the meetings have been identified. This is a different finding to that reported in earlier work, but is consistent with the VIX being based on a constant 22 day time to maturity.