Simultaneous Monetary Policy Announcements And International Stock Markets Response: An Intraday Analysis

This paper investigates the return and volatility responses of major European and the US equity indices to monetary policy surprises using extensive intraday data on 5-minute price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news. These results show that monetary policy decisions generally exert an immediate and significant influence on stock index returns and volatilities in both European US markets. These findings also indicate that European Central Bank's (ECB) press conferences following monetary policy decisions on the same day have define impacts on European index return volatilities, implying that they convey important information to market participants.