Impact of FOMC announcement on stock price index in southeast Asian countries
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Mateus, Cesario and Bao, Trung Hoang (2017) Impact of FOMC announcement on stock price index in southeast Asian countries. China Finance Review International, 7 (3). pp. 370-386. ISSN 2044-1398 (doi:https://doi.org/10.1108/CFRI-06-2016-0051)
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Abstract
This paper examines the impact of Federal Open Market Committee (FOMC) announcements, which includes information about the targeted Federal fund rate and revision to the future path of monetary policy on Southeast Asian stock market performance. It compares these effects in two periods: the 1997 Asian financial crisis and the subprime mortgage crisis. To do this, a sample of five national equity market indexes is analysed over the period 1997-2013 covering 132 scheduled FOMC meetings. The results first show that all the stock markets examined do respond to information in FOMC announcements. Second, the target Federal fund rate has more impact on Southeast Asian stocks performance than information about the future path of monetary policy does. Third, different Southeast Asian equity markets respond similarly to targeting the Federal fund rate, while the responses to monetary policy differ from each other. Fourth, the response of each country to the FOMC announcement is not statistically different in the two periods of financial crisis.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | FOMC; Asian financial crisis; Interest rate surprises; Subprime mortgage crisis; Market reaction |
| Subjects: | H Social Sciences > HG Finance |
| Faculty / School / Research Centre / Research Group: | Faculty of Business Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Centre for Governance, Risk & Accountability (CGRA) Faculty of Business > Department of Accounting & Finance |
| Related URLs: | |
| Last Modified: | 11 Jul 2019 01:38 |
| URI: | http://gala.gre.ac.uk/id/eprint/16217 |
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