Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |