Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United StatesShaen Corbet, John James Dunne and Charles Larkin Research in International Business and Finance, 2019, vol. 48, issue C, 321-334 Abstract: In November 2008, the United States (US) Federal Reserve began purchasing mortgage-backed security obligations, in an attempt to support the failing housing market and improve financial market conditions. This paper provides an investigation of the volatility effects associated with regularly scheduled US Federal Reserve quantitative easing (QE) announcements, using high-frequency returns data. We find significant and substantial increases of stock market volatility immediately after a policy announcement, peaking in the hour following each Federal Open Market Committee (FOMC) announcement. The increase in volatility is largest when the market is provided with forewarning of an announcement. Unexpected announcements lead to longer short-term volatility persistence. Volatility persistence is amplified when the contents of the surprise announcement are positive. Finally, we find evidence of an increase in market returns prior to a FOMC announcement. Keywords: High-frequency data; Stock market volatility; Policy announcements; Quantitative easing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:48:y:2019:i:c:p:321-334 DOI: 10.1016/j.ribaf.2019.01.007 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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