RETURN PATTERNS PROXIMAL TO CENTRAL BANK RATE DECISION ANNOUNCEMENTS: OMX 30 excess return and monetary policy announcements
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
In this study, it is determined that excess returns on the OMX 30 are confirmed to rise in anticipation of monetary policy decisions made by the central banks of Sweden and The United States of America. Those findings were manifested at a greater magnitude on the first day prior to the announcements and on a statistically significant level one day prior to monetary policy decisions from the Federal Open Market Committee. Moreover, excess returns beyond the average rate were found to be substantially higher on the first and third day prior monetary policy decisions from the Swedish Central bank (Riksbanken) albeit not on a statistically significant level. The results drawn from the data in the study were reinforced by findings in similar tests conducted during times of global recession.
Place, publisher, year, edition, pages
2014. , 26 p.
FOMC announcements; Monetary policy announcement; News shock; Anomaly: Market efficiency; Momentum trading
IdentifiersURN: urn:nbn:se:su:diva-105824OAI: oai:DiVA.org:su-105824DiVA: diva2:731954
Zhao, Lu, Postdoktor Fil dr
Jun Hou, Ai, Universitetslektor Fil dr