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Price jumps in developed stock markets: the role of monetary policy committee meetings

Rangan Gupta (), Chi Keng Marco Lau (), Ruipeng Liu () and Hardik Marfatia
Additional contact information
Chi Keng Marco Lau: University of Huddersfield
Ruipeng Liu: Deakin University

Journal of Economics and Finance, 2019, vol. 43, issue 2, 298-312

Abstract: Abstract In this paper, we analyze the jump intensity in the Euro area, Japan, the UK and the US and measure their reactions to the US Federal Reserve meetings together with the country’s own monetary policy meetings. Evidence suggests that the jump intensity in all the markets is highly persistent. Further, the US monetary policy positively impacts the jump intensity in almost all the cases, including in the sub-sample periods found by the structural break test. Moreover, in assessing the joint effects on jump intensities, we find that the US policy dominates the 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 C32 G15 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings (2017)
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