Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns

Abstract

This paper examines the 2006 to 2007 time period to determine the extent to which the release of the Federal Reserve minutes affects equity volatility and returns for 2832 individual firms. Using intraday data, we find that equity returns are essentially unaffected by FOMC minutes releases. We do find evidence of volatility effects, in that conditional volatility is lower prior to the minutes release and higher after the minutes release on release days, relative to a “control” day one week prior to the release date. These differences manifest at the 2:00–2:05 pm interval, and generally dissipate within 15 min. Consistent with previous literature, we also find evidence of both industry‐specific and firm size effects in our data. Finally, we see that volatility is higher (lower) when the minutes are released after the Federal Reserve engages in restrictive (expansionary) monetary policy. Our results are robust to a variety of different definitions of the “control” dates, as well as differing industry definitions.

The impact of ECB macro-announcements on bid–ask spreads of European blue chips

“…Notably, these effects usually relate to the span that bid and ask build around the equilibrium price, while the latter himself might change drastically or not at all. Bomfim (2003) and Jubinski and Tomljanovich (2013) for example focus on these changes in the price itself, while our study as mentioned above provides an analysis of the impact that news has on the differences between buy and sell prices.…”

Review on Corporate Bond Research

“…Credit spread means that corporate bond and treasury bond have the same residual maturity and cash flow, and the yield to maturity of corporate minus the yield to maturity of treasury bond [31]. The reason that credit spread exists is that a higher default risk of corporate bond, and when invest corporate bond, investors expect higher yield to maturity to make up for risks.…”

The Cost of New Information ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips

“…Notably, these effects usually relate to the span that bid and ask builds around the equilibrium price, which itself might change drastically or not at all. Bomfim (2003) and Jubinski and Tomljanovich (2013), for example, put their focus on these changes in the price itself, while our study, as mentioned above, provides an analysis of the impact that news has on the differences between buy and sell prices. While our theoretical model was used to formalize the effects of different spread factors that have become more or less standard in the related literature, and to understand the workings of the different components, the empirical investigation in the next section has the aim of showing whether there are any such effects on spreads and where they may originate.…”

“…Jubinski and Tomljanovich (2013) and Savor and Wilson (2013), for example, examine return effects due to macro impacts, but to the best of our knowledge there is no study directly investigating the consequences of ECB announcements on the bid-ask spread using intraday data. Considering the 4 effects of major announcements as highly important in the context of stock market pricing, we analyze the impact of both interest rate decisions and press conferences by the ECB.…”