Central bank communications and equity ETFs

Journal of Futures Markets

Volumn 26, Issue 10, 2006, Pages 959-995

  Wang, T A O ^b   Yang, Jian ^a   Wu, Jingtao ^c  

^a PRAIRIE VIEW A AND M UNIVERSITY   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

^c IOWA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33748983195     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20228     Document Type: Article

References (26)

1. Adams, G., McQueen, G., & Wood, R. (2004). The effects of inflation news on high frequency stock returns. Journal of Business, 77, 547-574.
2. Andersen, T., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review, 93, 38-62.
3. Balduzzi, P., Elton, E. J., & Green, T. C. (2001). Economic news and bond prices: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis, 36, 523-543.
4. Bamber, L. (1986). The information content of annual earnings release: A trading volume approach. Journal of Accounting Research, 24, 40-56.
5. Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market's reaction to federal reserve policy? Journal of Finance, 60, 1221-1257.
6. Bernanke, B. S., Reinhart, V., & Sack, B. (2004). Monetary policy alternatives at the zero bound: An empirical assessment. Finance and Economics Discussion Series 2004-48. Washington, DC: Federal Reserve Board.
7. Brandt, M. W., & Kavajecz, K. A. (2004). Price discovery in the U.S. Treasury market: The impact of order flow and liquidity on the yield curve. Journal of Finance, 59, 2623-2654.
8. Chordia, T., & Swaminathan, B. (2000). Trading volume and cross-autocorrelations in stock returns. Journal of Finance, 55, 913-935.
9. Christie-David, R., Chaudhry, M., & Lindley, J. T. (2003). The effects of unanticipated macroeconomic news on debt markets. Journal of Financial Research, 26, 2003, 319-339.
10. Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. Journal of Finance, 48, 1161-1191.
11. Fleming, M. J., & Remolona, E. M. (1999). Price formation and liquidity in the U.S. Treasury market: The response to public information. Journal of Finance, 54, 1901-1915.
12. Frino, A., & Hill, A. (2001). Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence. Journal of Banking and Finance, 25, 1319-1337.
13. Gertler, M., & Gilchrist, S. (1994). Monetary policy, business cycles, and the behavior of small manufacturing firms. Quarterly Journal of Economics, 109, 309-340.
14. Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14, 71-100.
15. Green, C. T. (2004). Economic news and the impact of trading on bond prices. Journal of Finance, 59, 1201-1233.
16. Gurkaynak, R. S., Sack, B. P., & Swanson, E. T. (2005). Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking, 1, 55-92.
17. Hadi, A. S. (1994). A modification of a method for the detection of outliers in multivariate samples. Journal of the Royal Statistical Society (Series B), 56, 393-396.
18. Hasbrouck, J. (2003). Intraday price formation in the market for U.S. equity indexes. Journal of Finance, 58, 2375-2400.
19. Jensen, G., Johnson, R. R., & Mercer, J. M. (1996). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics, 40, 213-237.
20. Kashyap, A. K., & Stein, J. (2000). What does a million observations on banks say about the transmission of monetary policy? American Economic Review, 90, 407-428.
21. Kohn, D. L., & Sack, B. P. (2003). Central bank talk: Does it matter and why? (working paper). Washington, DC: Federal Reserve Board.
22. Kuttner, K. N. (2001). Monetary policy surprises and interest rate: Evidence from the Fed Funds futures market. Journal of Monetary Economics, 47, 523-544.
23. Mech, T. S. (1993). Portfolio return autocorrelation. Journal of Financial Economics, 34, 307-344.
24. Rigobon, R., & Sack, B. P. (2002). The impact of monetary policy on asset prices Finance and Economics Discussion Series 2002-04. Washington, DC: Federal Reserve Board.
25. Rudebusch, G. D. (1998). Do measures of monetary policy in a VAR make sense? International Economic Review, 39, 907-931.
26. Thorbecke, W. (1997). On stock market returns and monetary policy. Journal of Finance, 52, 635-654.