Central bank communications and equity E
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Tao Wang; Jian Yang; Jingtao Wu
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Article
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2006
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John Wiley and Sons
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English
โ 251 KB
## Abstract This article examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bidโask spread of two equity ETFs, the S&P 500 SPY fund and the S&P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and su