International Journal For Multidisciplinary Research

E-ISSN: 2582-2160   •   Impact Factor: 9.24

A Widely Indexed Open Access Peer Reviewed Multidisciplinary Bi-monthly Scholarly International Journal

Call for Paper Volume 7, Issue 6 (November-December 2025) Submit your research before last 3 days of December to publish your research paper in the issue of November-December.
Submit Research Paper Join as a Reviewer

Plagiarism is checked by the leading plagiarism checker TurnItIn

Call for Paper

Volume 7 Issue 6
November-December 2025

Submit your research paper

Indexing Partners
Academia Advanced Sciences Index Bielefeld Academic Search Engine CiteSeer DRJI Google Scholar Independent Search Engine & Directory Network ISI (International Scientific Indexing) Issuu Mendeley Research Networks
RefSeek ResearcherId - Thomson Reuters ResearchGate Scirus Scribd Semantic Scholar UTeM - Universiti Teknikal Malaysia Melaka Wiki for Call for Papers WorldCat Zenodo

How Do Central Bank Announcements Affect Stock Market Volatility? A Quantitative Event Study

Author(s) Mr. Aryaveer Jain
Country India
Abstract This paper investigates whether monetary-policy announcements trigger short-term stock-market volatility and whether the magnitude of that reaction differs between advanced and emerging economies. Using daily data for the S&P 500 (United States), EURO STOXX 50 (euro area) and Nifty 50 (India) from January 2015 to December 2024, we estimate two complementary measures of volatility: (i) the standard deviation of log-returns in a symmetric [−1,+1] trading-day event window and (ii) conditional variances from GARCH(1,1) models. Announcements by the Federal Reserve, European Central Bank (ECB) and Reserve Bank of India (RBI) are classified as “expected” or “unexpected” using Bloomberg survey medians. We find that unexpected policy actions raise same-day conditional variance by 23 % in the United States, 17 % in the euro area and 34 % in India, relative to a 30-day pre-event baseline. Cross-sectional regressions suggest that higher announcement-day volatility in India is associated with greater macro-uncertainty and lower central-bank credibility. The results imply that clear forward guidance can mitigate short-lived bouts of volatility, particularly in emerging markets.
Keywords monetary policy announcements; stock market volatility; event-study methodology; GARCH(1,1); emerging markets
Field Mathematics > Economy / Commerce
Published In Volume 7, Issue 6, November-December 2025
Published On 2025-11-30
DOI https://doi.org/10.36948/ijfmr.2025.v07i06.62132
Short DOI https://doi.org/hbdsm2
View / Download PDF File

Share this



E-ISSN 2582-2160
CrossRef

CrossRef DOI is assigned to each research paper published in our journal.

IJFMR DOI prefix is
10.36948/ijfmr

Downloads
Research Paper Format Copyright Permission Form and Undertaking Form Cover Page Vol 7 Isu 5Cover Page Vol 7 Isu 4Cover Page Vol 7 Isu 3

All research papers published on this website are licensed under Creative Commons Attribution-ShareAlike 4.0 International License, and all rights belong to their respective authors/researchers.

CC-BY-SA Open Access

About IJFMR
Fees & Payment
Current Issue
Publication Archive 		Submit Research Paper
Track Submission Status
Publication Guidelines
Publication Ethics
Peer Review & Plagiarism 		Join as a Reviewer
Editors & Reviewers
Reviewer Referral Program
Get Reviewer Membership Certi. 		Website/Journal Policies
Usage Policy
Content Policies
Privacy Policy
Contact Us +91-9687-828-838 editor@ijfmr.com