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Impact of Monetary Policy Announcements on Stock Market Index in Poland
Research Papers in Economics and Finance
View Archive Info| Field | Value | |
| Title |
Impact of Monetary Policy Announcements on Stock Market Index in Poland
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| Creator |
Kołodziejczyk, Hanna Zofia
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| Description |
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.
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| Publisher |
Faculty of Economics, Poznań University of Economics and Business
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| Date |
2016-12-12
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://ref.ue.poznan.pl/index.php/REF/article/view/32
10.18559/ref.2016.1.1 |
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| Source |
Research Papers in Economics and Finance; Vol 1 No 1 (2016); 7-16
2543-6430 |
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| Language |
eng
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| Relation |
http://ref.ue.poznan.pl/index.php/REF/article/view/32/2
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| Rights |
Copyright (c) 2016 Research Papers in Economics and Finance
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