The Impact of US Monetary Policy Announcements on EquityPrices: Evidence from Borsa Istanbul

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dc.contributor.authorİkizlerli, Deniz
dc.contributor.authorYener, Haluk
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2024-07-18T20:06:49Z
dc.date.available2024-07-18T20:06:49Z
dc.date.issued2020
dc.departmentİstanbul Billgi Üniversitesien_US
dc.description.abstractThis study examines the effect of FOMC's (Federal Open Market Committee) announcements on the volatility of stock returns in the Borsa Istanbul (BIST) from January 4, 2000 to May 31, 2019. We find that FOMC's news increases the market level of volatility on announcement days but cannot find any evidence that it had a destabilizing effect on the Turkish stock market over our observation period. We also look at the effect of FOMC's news on the return volatility of the BIST100 index over different states of the stock market and find that FOMC's announcement days give a lift to conditional volatility both in bull periods and bear periods, but find no evidence of destabilizing impact. On the contrary, both positive announcement and negative announcement shocks in bull periods are found to depress volatility on consecutive days. In other words, FOMC's announcements in bull periods have a stabilizing effect on equity prices rather than a destabilizing in the BIST100 index.en_US
dc.identifier.doi10.20409/berj.2020.291
dc.identifier.endpage952en_US
dc.identifier.issn2619-9491
dc.identifier.issue4en_US
dc.identifier.startpage939en_US
dc.identifier.trdizinid427692en_US
dc.identifier.urihttps://doi.org/10.20409/berj.2020.291
dc.identifier.urihttps://search.trdizin.gov.tr/yayin/detay/427692
dc.identifier.urihttps://hdl.handle.net/11411/5617
dc.identifier.volume11en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofBusiness and Economics Research Journalen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.titleThe Impact of US Monetary Policy Announcements on EquityPrices: Evidence from Borsa Istanbulen_US
dc.typeArticleen_US

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