INVESTOR SENTIMENT AND MARKET REACTION TO U.S. FEDERAL RESERVE MONETARY POLICY-A REVISIT

Hou-Jen Chao ； Han-Hsing Lee

《Advances in Investment Analysis and Portfolio Management》 10期 (2020/12) Pp. 167-193

https://doi.org/10.6291/AIAPM.202012_(10).0007

摘要

This research explores the effectiveness of changes in U.S. Federal Reserve monetary policy on investor sentiment and various market indices under different market regimes. Our empirical results show in the full data period that monetary policy actions do have significant effects on stock returns and investor sentiment. Most of their impacts are due to the level surprises, while timing surprises have virtually no influence on stock, bond, and credit markets. During the later period from 2005 to 2012, our results reveal that the monetary policy effects disappeared for both stock returns and investor sentiment, but the level surprises still did have impacts on both credit default swap (CDS) and bond indices.

關鍵字

Monetary Policy ； Investor Sentiment ； Stock Market ； CDS Index ； Bond Index

參考文獻

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