The Impact of Monetary Policy Announcements on Stock Market Index in Poland

Hanna Kołodziejczyk

Abstract

Financial market participants are influenced by the news reaching them from all manner of sources, including the country’s central bank. In this paper we model daily returns of WIG20 index with respect to announcements made by the National Bank of Poland (NBP) regarding the changes of the official interest rate of open market operations (the so-called reference rate) during the period of 2004-2016. The goal is to examine whether the NBP’s announcements have an impact on either stock returns or volatility and whether the content of such communiqué (either interest rate cut or raise) matters. The FIGARCH model is found to be an appropriate specification for the data. Moreover, the results suggest that, in fact, interest rate changes do have a significant impact on both returns and volatility. However, the reactions to news are different with respect to the type of announcement.
Author Hanna Kołodziejczyk (WE / KTPiPP)
Hanna Kołodziejczyk,,
- Department of Money Theory and Monetary Policy
Journal seriesResearch Papers in Economics and Finance, ISSN , e-ISSN 2543-6430, (0 pkt)
Issue year2016
Vol1
No1
Pages7-16
Publication size in sheets0.5
Keywords in Englishmonetary policy, news effect, stock market
DOIDOI:10.18559/ref.2016.1.1
URL http://ref.ue.poznan.pl/index.php/REF/article/view/32/2
Languageen angielski
Score (nominal)0
Score sourcejournalList
ScoreMinisterial score = 0.0, 17-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 0.0, 17-12-2019, ArticleFromJournal
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