From a Merrill Lynch report:
For our study we look at nine key dates for the ECB, three for the BoJ and eight for the
Fed. In our view the best gauge of whether a policy is expected to be good for the
economy or not is the equity market.
Table 1 shows equity market responses on these 20 days. While the ECB “lays an egg” every once in a while in most of these key days there is a strong equity market rally. The equity market rallied on all three major BoJ news days. The US stock market has been sensitive to Fed exit plans. Taper talk caused equities to sell-off; when the Fed did not taper in September 2013 the market rallied; the market also rallied when the Fed announced a slower-than-expected taper in December 2013; selling off when the Fed signalled tightening to come and rallying when the Fed backed off; and the market rallied when the Fed signalled it was slowing its hiking plans in March 2015.
The moves last fall were a bit more complicated. As we wrote in real time, the markets were spooked by the delay in hiking in September as the Fed justified the delay with a lot of gloomy commentary. On the other hand, the December hike, close on the heels of solid jobs data, was seen as a vote of confidence in the economy.