The impact of ECB and FOMC monetary policy announcement on Asian indexes.

Abstract

This paper studied the impact of the monetary policy announcements from ECB and FOMC on Asian indices return. Recently equity markets in Asia have experienced large fluctuation according to monetary policy announcements, which are referred as event day in this paper. As most of Asian equity markets are closed before the announcement had been made; therefore, this paper is focus on the markets activities on 2 trading days before announcement, 1 trading day before announcement, which in this paper refer to ECB or/and FOMC announcement day, and 1 trading day after announcement, Major finding of this paper are that Although US market capital is bigger than ECB market capital, however, impact of ECB announcements tends to have more affect over some Asian indices more than FOMC announcements. Finally, The impact of FOMC and ECB announcements tend to more affect on indices that their market capital are lower than $1,000,000M and most of these indices are classify by market classification as emerging markets and, especially, frontier market

KEY WORDS: Impact of ECB and FOMC announcements on Asia equity markets