The impact of US Monetary Policy Announcements on Equity Prices: Evidence from Borsa Istanbul

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dc.contributor.authorİkizlerli, Deniz
dc.contributor.authorYener, Haluk
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2021-09-24T11:49:35Z
dc.date.available2021-09-24T11:49:35Z
dc.date.issued2020-09-28
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.fullTextLevelFull Texten_US
dc.identifier.doi10.20409/berj.2020.291
dc.identifier.issn2619-9491
dc.identifier.issn2619-9491
dc.identifier.trdizinid427692en_US
dc.identifier.urihttps://hdl.handle.net/11411/4029
dc.identifier.urihttps://doi.org/10.20409/berj.2020.291
dc.identifier.urihttps://search.trdizin.gov.tr/yayin/detay/427692en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.issue4en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors3en_US
dc.pages939 - 952en_US
dc.relation.ispartofBusiness and Economics Research Journalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectFOMC's (Federal Open Market Committee) Announcementsen_US
dc.subjectStockReturn Volatilityen_US
dc.subjectAsymetric Volatilityen_US
dc.subjectEmerging Marketsen_US
dc.titleThe impact of US Monetary Policy Announcements on Equity Prices: Evidence from Borsa Istanbul
dc.typeArticle
dc.volume11en_US

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