Simultaneous monetary policy announcements and international stock markets response: An intraday analysis

Syed Mujahid Hussain*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

65 Citations (Scopus)


This paper investigates the return and volatility response of major European and US equity indices to monetary policy surprises by utilizing extensive intraday data on 5-min price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news announcements. The results indicate that the monetary policy decisions generally exert immediate and significant influence on stock index returns and volatilities in both European and the US markets. The findings also show that press conferences held by the European Central Bank (ECB) that follow monetary policy decisions on the same day have a clear impact on European index return volatilities. This implies that they convey additional important information to market participants. Overall, our analysis suggests that the use of high frequency data is critical to separate the effect of monetary policy actions from those of macroeconomic news announcements on stock index returns and volatilities.

Original languageEnglish
Pages (from-to)752-764
Number of pages13
JournalJournal of Banking and Finance
Issue number3
Publication statusPublished - Mar 2011


  • Conditional mean
  • Conditional volatility
  • G14
  • G15
  • High frequency data
  • Macroeconomic news
  • Monetary policy

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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