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...

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Main Author: FINTA, Marinela Adriana
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6970
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7969/viewcontent/JapaneseMonetaryPolicy_Impact_sv.pdf
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spelling sg-smu-ink.lkcsb_research-79692022-03-18T05:34:48Z Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather FINTA, Marinela Adriana 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 significant decline in Japanese equities' implied volatility and futures, which lasts for about 10 min and 5 min, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the Japanese monetary policy releases during pleasant and unpleasant weather days, respectively. In particular, taking a short position at the start of the trading day on pleasant days and closing this position at the end of the trading day generates an average annual return of 5.6%. 2021-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6970 info:doi/10.1016/j.pacfin.2021.101562 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7969/viewcontent/JapaneseMonetaryPolicy_Impact_sv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Nikkei 225 VI Nikkei 225 VI futures MPM release Intraday data Intraday Unpleasant weather Asian Studies Finance Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Nikkei 225 VI
Nikkei 225 VI futures
MPM release
Intraday data
Intraday
Unpleasant weather
Asian Studies
Finance
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Nikkei 225 VI
Nikkei 225 VI futures
MPM release
Intraday data
Intraday
Unpleasant weather
Asian Studies
Finance
Finance and Financial Management
Portfolio and Security Analysis
FINTA, Marinela Adriana
Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
description 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 significant decline in Japanese equities' implied volatility and futures, which lasts for about 10 min and 5 min, respectively. This decline is longer and exhibits a greater variation when releases occur during cold days. Finally, we emphasize the achievable economic profits and losses, given the reaction of Nikkei VI futures to the Japanese monetary policy releases during pleasant and unpleasant weather days, respectively. In particular, taking a short position at the start of the trading day on pleasant days and closing this position at the end of the trading day generates an average annual return of 5.6%.
format text
author FINTA, Marinela Adriana
author_facet FINTA, Marinela Adriana
author_sort FINTA, Marinela Adriana
title Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
title_short Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
title_full Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
title_fullStr Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
title_full_unstemmed Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
title_sort japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather
publisher Institutional Knowledge at Singapore Management University
publishDate 2021
url https://ink.library.smu.edu.sg/lkcsb_research/6970
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7969/viewcontent/JapaneseMonetaryPolicy_Impact_sv.pdf
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