不同貨幣政策預期下FOMC會議對市場報酬的影響

Abstract

本研究探討了在不同貨幣政策預期下FOMC會議對市場報酬的影響。結果顯示，當市場預期為降息時，Pre-FOMC效應更為劇烈；當預期為升息的期間，舉行會議時高的市場情緒對市場報酬有高度正向影響。此外，不管預期升息還是降息都伴隨著更高的市場關注度，使投資者更加敏感於政策變動的消息，因此在會議前二至三天都有顯著的提前反應。這些發現為投資者和政策制定者提供了寶貴的參考，幫助他們更好地理解和應對市場動態變化。

This study explores the impact of FOMC meetings on market returns under different monetary policy expectations. The results show that when the market expects a rate cut, the Pre-FOMC effect is more pronounced. During periods when a rate hike is expected, high market sentiment during meetings has a positive impact on market returns. Additionally, whether expecting a rate hike or a rate cut, there is a higher level of market attention, making investors more sensitive to policy changes. This sensitivity leads to significant pre-announcement reactions two to three days before the meeting. These findings provide valuable insights for investors and policymakers, helping them better understand and respond to market dynamics.