Publication Type
Working Paper
Version
publishedVersion
Publication Date
3-2021
Abstract
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 minutes and 5 minutes, 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%.
Keywords
Nikkei 225 VI, Nikkei 225 VI Futures, MPM Release, Intraday Data, Unpleasant Weather
Discipline
Asian Studies | Finance | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
First Page
1
Last Page
40
Embargo Period
5-20-2021
Citation
FINTA, Marinela Adriana.
Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather. (2021). 1-40.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6712
Copyright Owner and License
Authors / SKBI
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Included in
Asian Studies Commons, Finance Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons
Comments
Published in Pacific-Basic Finance Journal, 2021, 67, 101562, pp. 1-17. DOI: 10.1016/j.pacfin.2021.101562