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Impact of FOMC announcement on stock price index in Southeast Asian countries
China Finance Review International Pub Date : 2017-08-21 , DOI: 10.1108/cfri-06-2016-0051
Trung Hoang Bao , Cesario Mateus

This paper examines the impact of Federal Open Market Committee (FOMC) announcements, which include information about target Federal fund rate and the revision to the future path of monetary policy, on Southeast Asian stock markets performance. It compares these effects in two periods, 1997 Asian financial crisis and subprime mortgage crisis. To do this, a sample of five national equity market indexes is analysed over the period 1997–2013 that covers 132 scheduled FOMC meetings. The result first shows that all stock markets examined do response to information in FOMC announcements. Second, target Federal fund rate has more impact on Southeast Asian stocks performance than information about the future path of monetary policy does. Third, different Southeast Asian equity markets respond similarly to target Federal fund rate, while the responses to monetary policy differ each other. Fourth, the response of each country to FOMC announcement is not statistically different in the two financial crises periods.

中文翻译:

联邦公开市场委员会公告对东南亚国家股价指数的影响

本文研究了联邦公开市场委员会(FOMC)公告对东南亚股票市场表现的影响,这些公告包括有关目标联邦基金利率以及对未来货币政策路径的修订。它在两个时期(1997年亚洲金融危机和次级抵押贷款危机)中比较了这些影响。为此,我们分析了1997年至2013年期间五种国家股票市场指数的样本,涵盖了132个预定的FOMC会议。该结果首先表明,所检查的所有股市都对FOMC公告中的信息做出了回应。其次,目标联邦基金利率对东南亚股市表现的影响要大于有关货币政策未来路径的信息。第三,不同的东南亚股票市场对目标联邦基金利率的反应相似,对货币政策的反应互不相同。第四,在两个金融危机期间,每个国家对FOMC公告的反应在统计上都没有差异。
更新日期:2017-08-21
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