The Market Impact of FOMC Meetings Part 1

[WITH CODE] Analyzing the impact of FOMC meetings on returns and volatility across asset classes

Hello!

Welcome back to another market investigation. Today, we’ll explore the relationship between FOMC meetings and the performance and volatility of different asset classes.

In my Calendar Anomalies series, we observed that FOMC meeting days were associated with unusually high risk-adjusted returns in U.S. equities. In this post, I take that anomaly a step further, investigating its consistency and presence across other markets.

Let’s get into it.