Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather

• Main Author: FINTA, Marinela Adriana
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Nikkei 225 VI; Nikkei 225 VI Futures; MPM Release; Intraday Data; Unpleasant Weather; Asian Studies; Finance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6712; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7711/viewcontent/Japanese_monetary_policy_and__implied_volatility_weatherFULL.pdf
• Institution: Singapore Management University

We investigate the effect of Japan’s Monetary Policy Meeting releases on the intraday dynamics of the Nikkei Stock Average Volatility Index and its futures during pleasant and unpleasant weather. We show that at the time of a monetary policy release when the temperature is pleasant, there is a signi...