The purpose of the research presented in this chapter is the verification of the question whether the release of new information by the National Bank of Poland (NBP) about its monetary policy decisions affects the stock market prices, as well as the respective changes in market activity, at the Warsaw Stock Exchange (WSE) in Poland. Our work covers comprehensively five stock indices (WIG, WIG20, mWIG40 and sWI80 from the main WSE market and NC Index from the Catalyst Market), two index futures (futures on WIG20 and mWIG40 indices) and the volume of trade on those seven instruments as a measure of the stock market investors’ activity.

The reported results show evidence that the communication by the National Bank of Poland of its monetary policy actions regarding changes of interest rates affects returns and the trading volume as well as the conditional volatilities of those two variables. The NBP announcements had a calming effect on the conditional volatility of the stock indices returns and on the trading volume as a proxy for investors’ activity. Furthermore, the effects evident in the mean equations show that the Polish central bank’s communication affects stock market returns. It also triggers a volume of trade but this effect was limited only to the stock index futures. This finding implies that investors’ trading activity on the futures market increases when the NBP announcements are revealed.

We also detected changes in market reactions during the COVID-19 period, i.e. most notably a greater sensitivity of the stock market trading volume in the COVID-19 crisis, which suggests that investors’ activity was increasing proportionally stronger in response to the NBP news during the pandemic than earlier in the pre-COVID-19 times.

Overall, our findings can be helpful in better understanding the monetary policy transmission mechanisms as well as the role of central banks’ communication on the stock markets and – in particular – on the Warsaw Stock Exchange in Poland.