Federal Open Market Committee meetings and stock market performance
DOI:
https://doi.org/10.1016/S1057-0810(01)00087-7Keywords:
Weekend effect, Stock market returns, FOMCAbstract
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.
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