When no news is good news - The decrease in investor fear after the FOMC announcement
This paper examines the impact of FOMC announcements on the intraday behavior of the VIX and VIX futures. We find that the VIX and the VIX futures start to decline immediately after the FOMC announcement, and this decline persists for about 45 minutes after the announcement. The VIX declines by abou...
| Main Authors: | , |
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| Format: | Others |
| Published: |
The New Zealand Finance Colloquium,
2016-01-28T03:46:51Z.
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| Subjects: | |
| Online Access: | Get fulltext |