Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings

Rangan Gupta, Chi Lau (), Ruipeng Liu () and Hardik Marfatia
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Chi Lau: Newcastle Business School, Northumbria University, Newcastle, UK
Ruipeng Liu: Department of Finance, Deakin Business School, Deakin University, Melbourne, Australia

No 201727, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we analyze the degree of occasional large price changes and extreme volatility – known as jump intensity – in the Euro area, Japan, the UK and the US. We also measure the reaction of jump intensity in these markets to the US Federal Reserve meetings as well as of the country’s own monetary policy meetings. The results indicate that the conditional jump intensity in all the markets follows a highly persistent process. Evidence suggests that the US monetary policy positively impacts the jump intensity in the case of the UK, Euro, and the US, including in the sub-sample periods found by the structural break test. Moreover, in assessing the joint effects, we find that the US continues to maintain the central role in driving the jump intensities, with it having even a greater role than monetary policy of the country itself.

Keywords: Jump intensity; Developed stock markets; Monetary policy committee meeting dates (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2017-04
New Economics Papers: this item is included in nep-fmk and nep-mon
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Citations: View citations in EconPapers (3)

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Journal Article: Price jumps in developed stock markets: the role of monetary policy committee meetings (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201727

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