The Impact of Monetary Policy Announcements on the Volatility of Australian Banking Stock Prices

26 Pages Posted: 28 May 2020

See all articles by Nathan J. Atwood

Nathan J. Atwood

Bendigo and Adelaide Bank Ltd

Sigitas Karpavicius

The University of Adelaide

Date Written: January 17, 2018

Abstract

This paper examines the effects of monetary policy announcements, made by the Reserve Bank of Australia, on the stock price volatility of Australian commercial banks. The results suggest that the announcements of the new target cash rate increase the volatility of Australian banking stocks. In contrast, the release of the explanatory meeting minutes is not associated with any dominant impact on stock price volatility. We find that the volatility is greater during the Global Financial Crisis (GFC). However, both types of events—the announcements of the target cash rate and the releases of the explanatory meeting minutes—are not generally associated with higher volatility of banking stock prices during the GFC.

Keywords: Monetary Policy Announcements, Stock Price Volatility, Commercial Banks

JEL Classification: E58, G10, G21

Suggested Citation

Atwood, Nathan J. and Karpavicius, Sigitas, The Impact of Monetary Policy Announcements on the Volatility of Australian Banking Stock Prices (January 17, 2018). Available at SSRN: https://ssrn.com/abstract=3589011 or http://dx.doi.org/10.2139/ssrn.3589011

Nathan J. Atwood

Bendigo and Adelaide Bank Ltd ( email )

PO Box 480
Australia

Sigitas Karpavicius (Contact Author)

The University of Adelaide ( email )

Adelaide Business School
Level 12, 10 Pulteney Street
Adelaide, SA 5005
Australia
+61 8 8313 8007 (Phone)

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