The Impact of Monetary Policy Announcements on Stock Market Index in Poland
DOI:
https://doi.org/10.18559/ref.2016.1.1Keywords:
monetary policy, news effect, stock marketAbstract
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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EDITORIAL OFFICE: Department of Business Activity and Economic Policy, Instittue of Economics, Poznań University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland, room 621a Alltum, 