Federal Open Market Committee meetings and stock market performance

Authors

  • Cynthia Royal Tori Department of Marketing and Economics, Harley Langdale Jr. College of Business Administration, Valdosta State University, Valdosta, GA 31698, USA

DOI:

https://doi.org/10.1016/S1057-0810(01)00087-7

Keywords:

Weekend effect, Stock market returns, FOMC

Abstract

This paper examines an interesting calendar effect - a relationship between contemporaneous stock market returns and Federal Open Market Committee (FOMC) meeting dates. Examining S&P 500 stock market returns between 1960 and 2000, the study ®nds that there is a positive and signi®cant calendar effect associated with FOMC meeting dates. The data reveal that while FOMC meeting dates only accounted for 4.42% of the trading days, FOMC meeting date returns accounted for over 13% of the cumulative returns over the time period. Using a dummy variable for FOMC meeting dates, regression results ®nd that the FOMC meeting dates have a signi®cantly positive effect on overall market returns. Copyright 2001 Elsevier Science Inc. All rights reserved.

Downloads

Published

2001-12-30

How to Cite

Tori, C. R. (2001). Federal Open Market Committee meetings and stock market performance. Financial Services Review, 10(1-4), 163–171. https://doi.org/10.1016/S1057-0810(01)00087-7

Issue

Vol. 10 No. 1-4 (2001): Financial Services Review

Section

New Original Submission

License

Copyright (c) 2001 Elsevier Science Inc.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Author(s) retain copyright and grant the Journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial 4.0 International License that allows to share the work with an acknowledgment of the work's authorship and initial publication in this Journal.

This license allows the author to remix, tweak, and build upon the original work non-commercially. The new work(s) must be non-commercial and acknowledge the original work.