Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency

Chen, Carl R.; Mohan, Nancy; Steiner, Thomas L.

doi:10.1016/s0378-4266(98)00118-6

Cited by 52 publications

(34 citation statements)

References 36 publications

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“…Lobo (2002) observes that stock prices are only responsive to declining interest rates, and increasing interest rates do not have a statistically significant effect on changes in stock prices. Chen, Mohan, and Steiner (1999) do not find evidence that the market perceives a discount rate increase as having differential importance relative to a discount rate decrease. When investigating the response of bank stocks to monetary policy, Madura and Schnusenberg (2000) find that decreases in the federal funds rate target lead to positive bank stock returns and increases have no significant effects.…”

Section: The Empirical Model and Hypothesescontrasting

confidence: 66%

State Dependency of Bank Stock Reaction to Federal Funds Rate Target Changes

Yin

Yang

Handorf

2010

J of Financial Research

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We investigate the effects of changes in the federal funds target rate on bank stock returns through an event-study analysis. We examine the state dependency of such effects and focus on the surprise elements of policy changes derived from the federal funds futures market. Although we confirm an inverse relation between bank stock returns and changes in the federal funds target rate previously supported in the literature, we find that bank stock returns only respond to surprise or unexpected changes in the federal funds target rate. We also find that such responses are conditional on the context in which policy changes take place. Copyright (c) 2010 The Southern Finance Association and the Southwestern Finance Association.

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Section: The Empirical Model and Hypothesescontrasting

confidence: 66%

State Dependency of Bank Stock Reaction to Federal Funds Rate Target Changes

Yin

Yang

Handorf

2010

J of Financial Research

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“…First, while earlier literature (see Chen, Mohan, & Steiner, 1999;Jensen, Johnson, & Bauman, 1997;Lobo, 2000;Thorbecke, 1997;Thornton, 1998) examines the effects of monetary policy on the stock pricing process (i.e., return and realized volatility), this study investigates the effects of the FOMC meetings on market uncertainty.…”

Section: Introductionmentioning

confidence: 99%

Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty

Nikkinen

Sahlström

2004

International Review of Financial Analysis

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“…SeeGreene and Watts (1996) andChen et al (1999), for example.7 We are limited to monthly changes in most economic variables because of the policies of statistical offices in the countries under study.…”

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confidence: 99%

The Relationship Between Economic Factors and Equity Markets in Central Europe

Hanousek

Filer

2000

Economics of Transition

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This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created. JEL classification: E44, G15, O16.

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Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency

Cited by 52 publications

References 36 publications

State Dependency of Bank Stock Reaction to Federal Funds Rate Target Changes

State Dependency of Bank Stock Reaction to Federal Funds Rate Target Changes

Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty

The Relationship Between Economic Factors and Equity Markets in Central Europe

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