El impacto de los comunicados del Federal Open Market Committee en las cotizaciones de las empresas del sector industrial listadas en el Standard & Poor's 500

Resumen

El presente trabajo tiene por objetivo determinar el impacto financiero de los comunicados y las decisiones  del Federal Open Market Committee (FOMC) sobre los rendimientos accionarios de 56 emisoras del sector industrial del S&P 500; dicho índice es relevante dada su capacidad de representar el mercado bursátil estadounidense. La hipótesis fue contrastada mediante la metodología de estudio de eventos, tomando como fechas de eventos los anuncios de política monetaria de la FED sobre variaciones de la tasa de fondos federales durante el periodo comprendido entre enero del 2021 y abril del 2023. Los resultados permiten rechazar la hipótesis nula: los anuncios del Comité Federal del Mercado Abierto (FOMC) relativos a la tasa de interés no presentan un impacto cuantificable en el desempeño bursátil de las empresas analizadas. Los hallazgos permiten constatar que los anuncios de política monetaria de la FED afectan los retornos de las emisoras del sector industrial del S&P 500, de manera compatible con la  forma semifuerte de la teoría de los mercados eficientes;  no obstante, la dirección del efecto está altamente  vinculada al régimen macrofinanciero vigente. En  términos agregados, los hallazgos muestran que el ritmo  de la política monetaria y su comunicación son relevantes en las cotizaciones de las empresas industriales del S&P 500. El estudio proporciona evidencia empírica útil para la gestión de portafolios, la valuación de empresas y gestión de riesgos a escala sectorial.

Palabras clave

Reserva Federal

política monetaria

sector industrial

metodología de eventos

finanzas

Citas

Andersen, T. G. & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4(2-3), 115-158. https://doi.org/10.1016/S0927-5398(97)00004-2

Apergis, N., Christou, C., Hayat, T. & Saeed, T. (2020). U.S. monetary policy and herding: evidence from commodity markets. Atlantic Economic Journal, (48), 355-374. https://doi.org/10.1007/s11293-020-09680-4

Bekaert, G., Hoerova, M. & Lo Duca, M. (2020). Unconventional monetary policy and the stock market. Journal of Banking & Finance, 112, 105195. https://doi.org/10.1016/j.jbankfin.2019.105195

Ben Omrane, W., Guesmi, K., Qianru, Q. & Saadi, S. (2021). The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets. Annals of Operation Research, 330, 177-209. https://doi.org/10.1007/s10479-021-04353-0

Bernanke, B. S. (2017). Federal reserve policy in an international context. IMF Economic Review, (65), 1-32. https://doi.org/10.1057/imfer.2016.8

Bilson, J. F. (1980). The “speculative efficiency” hypothesis. National Bureau of Economic Research, Working Paper n.° w0474. https://www.nber.org/papers/w0474

Boehmer, E., Musumeci, J. & Poulsen, A. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2), 253-272. https://doi.org/10.1016/0304-405X(91)90032-F

Bomfim, A. N. (2003). Pre-announcement effects, news effects, and volatility: monetary policy and the stock market. Journal of Banking & Finance, 27(1), 133-151. https://doi.org/10.1016/S0378-4266(01)00211-4

Brealey, R., Myers, S. & Allen, F. (2020). Principles of corporate finance (13.ª ed.). McGraw-Hill Education.

Brenner, M., Pasquariello, P. & Subrahmanyam, M. (2009). On the volatility and comovement of US financial markets around macroeconomic news announcements. Journal of Financial and Quantitative Analysis, 44(6), 1265-1289. https://doi.org/10.1017/S002210900999038X

Brož, V. (2024). The impact of announcements of regulatory and law enforcement penalties on stock market valuation of US banks from 2000 to 2022. Journal of Financial Regulation and Compliance, 32(4), 479-500. https://doi.org/10.1108/JFRC-01-2024-0007

Caggiano, G., Castelnuovo, E. & Nodari, G. (2020). The effects of conventional and unconventional monetary policy shocks on the stock market. Journal of Economic Dynamics and Control, 116, 103904. https://doi.org/10.1016/j.jedc.2020.103904

Campbell, J. R., Evans, C. L., Fisher, J. D., Justiniano, A., Calomiris, C. W. & Woodford, M. (2012). Macroeconomic effects of federal reserve forward guidance [with comments and discussion]. Brookings papers on economic activity, 1-80.

Campbell, J. Y. (2000). Asset pricing at the millennium. The Journal of Finance, 55(4), 1515-1567. https://doi.org/10.1111/0022-1082.00260

Chau, F., Deesomsak, R. & Shaikh, R. (2024). Does Fed communication affect uncertainty and risk aversion? Review of Quantitative Finance and Accounting, 64(3), 713-756. https://doi.org/10.1007/s11156-024-01318-9

Cieslak, A., Morse, A. & Vissing-Jorgensen, A. (2019). Stock returns over the FOMC cycle. The Journal of Finance, 74(5), 2201-2248. https://doi.org/10.1111/jofi.12818

Clarke, J., Jandik, T. & Mandelker, G. (2001). The efficient markets hypothesis. http://ww.e-m-h.org/ClJM.pdf

Corrado, C. J. & Zivney, T. L. (1992). The specification and power of the sign test in event study hypothesis tests using daily stock returns. Journal of Financial and Quantitative Analysis, 27(3), 465-478. https://doi.org/10.2307/2331331

Cowan, A. R. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358. https://doi.org/10.1007/BF00939016

De La Hoz, E., Zuluaga, R. & Mendoza, A. (2021). Assessing and classification of academic efficiency in Engineering Teaching Programs. Journal on Efficiency and Responsibility in Education and Science, 14(1), 41-52. http://dx.doi.org/10.7160/eriesj.2021.140104

Degutis, A. & Novickytė, L. (2014). The efficient market hypothesis: a critical review of literature and methodology. Ekonomika, 93(2), 7-23. https://doi.org/10.15388/Ekon.2014.2.3549

Dodson, S. I. (1974). Zooplankton competition and predation: an experimental test of the sizeefficiency hypothesis. Ecology, 55(3), 605-613. https://doi.org/10.2307/1935150

Dutta, A. (2014). Parametric and nonparametric event study tests: a review. International Business Research, 7(12), 136-142. https://doi.org/10.5539/ibr.v7n12p136

Eberly, J. C., Stock, J. H. & Wright, J. H. (2019). The federal reserve’s current framework for monetary policy: a review and assessment. National Bureau of Economic Research, working paper 26002. https://doi.org/p5hr

Ederington, L. H. & Lee, J. H. (1993). How markets process information: news releases and volatility. The Journal of Finance, 48(4), 1161-1191. https://doi.org/10.1111/j.1540-6261.1993.tb04750.x

Ekanayake, E. M., Rance, R. & Halkides, M. (2008). Effects of federal funds target rate changes on stock prices. The International Journal of Business and Finance Research, 2(1), 13-23. https://www.researchgate.net/publication228258806_Effects_of_Federal_Funds_Target_Rate_Changes_on_Stock_Prices

Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71(4), 545-565.

Fama, E. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x

Fama, E. & Malkiel, B. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486

Fischer, S. (2015). The federal reserve and the global economy. IMF Economic Review, 63(1), 8-21. https://doi.org/10.1057/imfer.2015.4

Fligstein, N., Brundage, J. S. & Schultz, M. (2014). Why the Federal Reserve failed to see the financial crisis of 2008: the role of “macroeconomics” as a sense making and cultural frame. IRLE, Working Paper n.° 111-114, September 2014. http://irle.berkeley.edu/workingpapers/111-14.pdf

Gehrke, M. (2022). Angewandte empirische methoden in finance & accounting. De Gruyter Oldenbourg. https://doi.org/10.1515/9783110767261

Gertler, P., Horváth, R. & Jonášová, J. (2020). Central bank communication and financial market comovements in the Euro area. Open Economies Review, (31), 257-272. https://doi.org/10.1007/s11079-019-09561-7

Goss, B. A. (1983). The semi-strong form efficiency of the London Metal Exchange. Applied Economics, 15(5), 681-698. https://doi.org/10.1080/00036848300000044

Groenewold, N. & Kang, K. C. (1993). The semi-strong efficiency of the Australian share market. Economic Record, 69(4), 405-410. https://doi.org/10.1111/j.1475-4932.1993.tb02121.x

Gupta, R. & Basu, P. K. (2007). Weak form efficiency in Indian stock markets. International Business & Economics Research Journal, 6(3), 57-64. https://doi.org/10.19030/iber.v6i3.3353

Hall, D. J., Threlkeld, S. T., Burns, C. W. & Crowley, P. H. (1976). The size-efficiency hypothesis and the size structure of zooplankton communities. Annual Review of Ecology and Systematics, 7(1), 177-208. https://doi.org/10.1146/annurev.es.07.110176.001141

Hall, P. (1992). Skewness-corrected transformed normal threshold test statistics in event studies. Journal of Financial and Quantitative Analysis, 27(3), 465-499. https://doi.org/10.2307/2331331

Hardouvelis, G. A. (1987). Macroeconomic information and stock prices. Journal of Economics and Business, 39(2), 131-140. https://doi.org/10.1016/0148-6195(87)90012-9

Heinlein, R. & Lepori, G. M. (2022). Do financial markets respond to macroeconomic surprises? Evidence from the UK. Empirical Economics, (62), 2329-2371. https://doi.org/10.1007/s00181-021-02108-1

Hippler, W. J., Hossain, S. & Hassan, M. K. (2019). Financial crisis spillover from Wall Street to Main Street: further evidence. Empirical Economic, (56), 1893-1938. https://doi.org/10.1007/s00181-018-1513-9

Holler, J. (2016). Einführung in die event study methodik. Shaker Verlag. http://www.shaker.eu/Online-Gesamtkatalog-Download/2023.05.24-03.29.18-201.110.69.33-radC5DC9.tmp/3-8440-4319-5_INH.PDF

Hussin, B. M., Ahmed, A. D. & Ying, T. C. (2010). Semi-strong form efficiency: market reaction to dividend and earnings announcements in Malaysian stock exchange. IUP Journal of Applied Finance, 16(5), 36-60. https://vuir.vu.edu.au/id/eprint/7282

Ignatieva, K. & Ohashi, K. (2025). The pre-FOMC announcement drift: short-lived or longlasting? Applied Economics, 57(17), 2021-2037. https://doi.org/10.1080/00036846.2024.2322573

Jones, C. M., Lamont, O. & Lumsdaine, R. L. (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47(3), 315-337. https://doi.org/10.1016/S0304-405X(97)00047-0

Kawas, S. & Dockery, E. (2023). What do we know about the stock markets’ reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions. Review Quantitative Finance and Accouting, 60(1), 31-67. https://doi.org/10.1007/s11156-022-01088-2

Kearney, A. A. & Lombra, R. E. (2003). Fed funds futures and the news. Atlantic Economic Journal, (31), 330-337. https://doi.org/10.1007/BF02298491

Khuntia, S. & Hiremath, G. S. (2019). Monetary policy announcements and stock returns: some further evidence from India. Journal of Quantitative Economic, (17), 801-827. https://doi.org/10.1007/s40953-019-00158-y

Kim, S. J. & Nguyen, B. (2009). The spillover effects of target interest rate news from the US Fed and the European Central Bank on the Asia-Pacific stock markets. Journal of International Financial Markets, Institutions and Money, 19(3), 415-431. https://doi.org/10.1016/j.intfin.2008.12.001

Kolari, J. W. & Pynnönen, S. (2011). Nonparametric rank tests for event studies. Journal of Empirical Finance, 18(5), 953-971. https://doi.org/10.1016/j.jempfin.2011.08.003

Kontonikas, A., MacDonald, R. & Saggu, A. (2013). Stock market reaction to fed funds rate surprises: state dependence and the financial crisis. Journal of Banking & Finance, 37(11), 4025- 4037. https://doi.org/10.1016/j.jbankfin.2013.06.010

Knox, B. & Vissing-Jorgensen, A. (2025). The effect of the Federal Reserve on the stock market: magnitudes, channels and shocks. http://dx.doi.org/10.2139/ssrn.5233918

Kumar, A., Dodda, S., Kamuni, N. & Arora, R. K. (2024). Unveiling the impact of macroeconomic policies: a double machine learning approach to analyzing interest rate effects on financial markets. SSRN. https://doi.org/10.48550/arXiv.2404.07225

Labonte, M. & Makinen, G. E. (2008, December). Monetary policy and the Federal Reserve: current policy and conditions. Congressional Research Service, Library of Congress.

Lakdawala, A. & Schaffer, M. (2019). Federal Reserve private information and the stock market. Journal of Banking & Finance, (106), 34-49. https://doi.org/10.1016/j.jbankfin.2019.05.022

Laopodis, N. T. (2010). Dynamic linkages between monetary policy and the stock market. Review of Quantitative Finance and Accounting, (35), 271-293. https://doi.org/10.1007/s11156-009-0154-7

Lubys, J. & Panda, P. (2021). US and EU unconventional monetary policy spillover on BRICS financial markets: an event study. Empirica, (48), 353-371. https://doi.org/10.1007/s10663-020-09480-8

Mankiw, N. G., Miron, J. A. & Weil, D. N. (1987). The adjustment of expectations to a change in regime: a study of the founding of the Federal Reserve. The American Economic Review, 77(3), 358-372. https://www.jstor.org/stable/2006726

Mitchell, M. L. & Mulherin, J. H. (1994). The impact of public information on the stock market. The Journal of Finance, 49(3), 923-950. https://doi.org/10.1111/j.1540-6261.1994.tb00083.x

Nau, R. F. & McCardle, K. F. (1991). Arbitrage, rationality, and equilibrium. Theory and Decision, (31), 199-240. https://doi.org/10.1007/BF00132993

Omrane, W., Guesmi, K., Qianru, Q. & Saadi, S. (2021). The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets. Annals of Operations Research, 330, 177-209. https://doi.org/10.1007/s10479-021-04353-0

Pinchuk, M. (2022). Monetary uncertainty as a determinant of the response of stock market to macroeconomic news. arXiv:2212.04525.

Prakash, S. (2013). Event study test of incorporating earning announcement on share price. Journal of Economic and Finance, 2(1), 9-18. https://www.iosrjournals.org/iosr-jef/papers/vol2-issue1/B0210918.pdf

Rahman, H. U. & Mohsin, H. M. (2011). Monetary policy announcements and stock returns: evidence from the Pakistani market. Transition Studies Review, (18), 342-360. https://doi.org/10.1007/s11300-011-0208-0

Raza, M. W. (2021). The effect of market regimes on the performance of market capitalization. ISRA International Journal of Islamic Finance, 13(2), 264-280. https://doi.org/10.1108/IJIF-07-2020-0139

Reeves, R. & Sawicki, M. (2007). Do financial markets react to Bank of England communication? European Journal of Political Economy, 23(1), 207-227. https://doi.org/10.1016/j.ejpoleco.2006.09.018

Rekik, Y. M., Hachicha, W. & Boujelbene, Y. (2014). Agent-based modeling and investors’ behavior explanation of asset price dynamics on artificial financial markets. Procedia Economics and Finance, (13), 30-46. https://doi.org/10.1016/S2212-5671(14)00428-6

Rincón, C. J. & Vukovic, D. B. (2024). Assessing the impact of Federal Reserve policies on equity market valuations. Journal of Risk and Financial Management, 17, 442. https://doi.org/10.3390/jrfm17100442

Rodríguez, F. S., Norouzzadeh, P., Anwar, Z., Snir, E. & Rahmani, B. (2024). A machine learning approach to predict the S&P 500 absolute percent change. Discover Artificial Intelligence, 4(8), 1-7. https://doi.org/10.1007/s44163-024-00104-9

Romer, C. D. & Romer, D. H. (2000). Federal Reserve information and the behavior of interest rates. American Economic Review, 90(3), 429-457. https://doi.org/dg8s4f

Ross, S., Westerfield, R. & Jaffe, J. (2010). Corporate finance. McGraw Hill.

Sharif, A., Aloui, C. & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach. International Review of Financial Analysis, (70), 101496. https://doi.org/10.1016/j.irfa.2020.101496

Smolyansky, M. & Suárez, G. (2025). Non-monetary news in Fed announcements: evidence from the corporate bond market. Finance and Economics Discussion Series 2021-010r1. https://doi.org/10.17016/FEDS.2021.010r1

Spelta, A., Pecora, N., Flori, A. & Giudici, P. (2021). The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach. Annals of Operation Research, 330, 639-664. https://doi.org/10.1007/s10479-021-04115-y

Ţiţan, A. G. (2015). The efficient market hypothesis: review of specialized literature and empirical research. Procedia Economics and Finance, (32), 442-449. https://doi.org/10.1016/S2212-5671(15)01416-1

Urbig, D., Bürger, R., Patzelt, H. & Schweizer, L. (2013). Investor reactions to new product development failures: the moderating role of product development stage. Journal of Management, 39(4), 985-1015. https://doi.org/10.1177/0149206311416120

Wand, T., Heßler, M. & Kamps, O. (2023). Identifying dominant industrial sectors in market states of the S&P 500 financial data. Journal of Statistical Mechanics: Theory and Experiment, 2023(4). https://doi.org/10.1088/1742-5468/accce0

Wilcoxon, F. (1945). Individual comparisons by ranking methods. Biometrics Bulletin, 1(6), 80- 83. https://doi.org/10.2307/3001968

Zhang, D., Hu, M. & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, (36), 101528. https://doi.org/10.1016/j.frl.2020.101528

Zimmerman, G. C. (1996). Factors influencing community bank performance in California. Economic Review-Federal Reserve Bank of San Francisco, (1), 26-40.

##submission.citations.for##