PL EN


2016 | 1 | 1 | 7-16
Article title

The Impact of Monetary Policy Announcements on Stock Market Index in Poland

Content
Title variants
Languages of publication
EN
Abstracts
EN
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.
Year
Volume
1
Issue
1
Pages
7-16
Physical description
Dates
published
2016-12-12
Contributors
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.ojs-doi-10_18559_ref_2016_1_1
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.