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Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
Pacific-Basin Finance Journal ( IF 4.8 ) Pub Date : 2021-04-27 , DOI: 10.1016/j.pacfin.2021.101562
Marinela Adriana Finta

We investigate the effect of Japan's Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a significant decline in Japanese equities' implied volatility and futures, which lasts for about 10 min and 5 min, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the Japanese monetary policy releases during pleasant and unpleasant weather days, respectively. In particular, taking a short position at the start of the trading day on pleasant days and closing this position at the end of the trading day generates an average annual return of 5.6%.



中文翻译:

日本货币政策及其对股市的影响意味着在宜人和不愉快的天气中会出现波动

我们调查了日本货币政策会议发布对日经平均指数波动指数及其期货在令人不愉快的天气中的日间动态的影响。我们显示,在温度适度的货币政策发布之时,日本股票的隐含波动率和期货大幅下跌,分别持续约10分钟和5分钟。这种下降时间更长,并且在寒冷的日子出现释放时表现出更大的变化。最后,鉴于日经VI期货分别在宜人和不愉快的天气中对日本货币政策释放的反应,我们强调了可以实现的经济损益。特别是,

更新日期:2021-05-02
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