Federal Reserve Transparency and Aggregate Trading Around FOMC Meeting Days

11 Pages Posted: 22 Sep 2023

See all articles by Byoungho Choi

Byoungho Choi

Yonsei University

Kee-Youn Kang

University of Liverpool Management School

Meiyan Jin

Yonsei University

Abstract

We find that abnormal cross-sectional volatility and trading volume around Federal Open Market Committee meeting days have increased over the past few decades, while these upward trends are not found for other macroeconomic announcements and randomly selected days. The evidence suggests that more extensive information about the future economic outlook is announced on FOMC meeting days as the Federal Reserve consistently improves transparency and communication. As a result, cross-sectional volatility and trading volume increase as the market reflects more flow of information announced on FOMC meeting days.

Keywords: Federal Reserve Transparency, Federal Reserve Communication, FOMC Meetings, Cross-Sectional Volatility, Trading Volume

Suggested Citation

Choi, Byoungho and Kang, Kee-Youn and Jin, Meiyan, Federal Reserve Transparency and Aggregate Trading Around FOMC Meeting Days. Available at SSRN: https://ssrn.com/abstract=4575199

Byoungho Choi

Yonsei University ( email )

Seoul
Korea, Republic of (South Korea)

Kee-Youn Kang (Contact Author)

University of Liverpool Management School ( email )

Meiyan Jin

Yonsei University ( email )

Seoul
Korea, Republic of (South Korea)

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