This study uses "event study" and "identification through heteroscedasticity" methodology to study the impact of Indian monetary policy announcements on stock indices during 2004-14. Although stock indices decline after announcement of policy tightening, the results are statistically insignificant. Unanticipated policy announcements have weakly significant impact, particularly on banking stocks. Dominance of the banking channel and ineffectiveness of the asset price channel in monetary transmission could have contributed to this non-confirmative result. Finally, UMP announcements of the US Fed also do not impact Indian stock returns except for a few events of LSAP in 2008 and Operation Twist in 2011.
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Indian Economic Review
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Afro-Asian J. of Finance and Accounting
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This study estimates the impacts of conventional and unconventional monetary policy surprises on asset markets in the United States using the heteroskedasticity-based GMM technique suggested by Rigobon and Sack (2004). Monetary policy surprises have statistically significant effects on major asset markets in both periods, yet magnitudes of responses differ notably in the unconventional period. For the unconventional period, the impacts of monetary policy surprises on stock returns and the implied volatilities in stock and bond markets are found to be lower compared to the conventional period. For most of the other asset returns however, responses are similar or higher in the unconventional period.
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Transition Studies Review
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Cogent Economics & Finance
Most studies for the monetary policy effect on stock markets have concentrated on using the primary index to proxy the stock market. The present paper, avoiding “aggregation bias”, seeks to unbundle the effect of monetary policy on the stock market in two ways. First, the non-linear model is used. Second, sector level monetary policy variable association and strength is known. Nonlinear Auto- Regressive Distributed Lag method (NARDL) has been used to separate the effect of monetary policy implications. The positive and negative separation of monetary policy variables shows meaningful information relating to each sector. Furthermore, the NARDL model provides the Error Correction equation for future prediction of the sector performance. The Error Correction Term (ECT) is significant for all the sectors, besides Information Technology. While ECT is highest for the Power sector, the lowest is reported for the Metal sector. Inflation increase has substantially more effect on sectors then its decrease. For short-run, real exchange rate positive (REER_POS (−2)), with a lag of 2 months, is effective for all the sectors. The health care sector stands out in its sensitivity to monetary policy variables. The asymmetric response of the Sector equity markets to monetary policy variables throws new insight for the policymakers, business managers, and fund managers.
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Submitted in fulfilment of the requirements for the Master of Management in Finance and Investments
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Review of Pacific Basin Financial Markets and Policies
In this study, we evaluate the impact of US monetary policy between 2008 and 2018 (after implementation of quantitative easing policy) on assets, bonds, exchange rates of selected East Asian countries (Japan, South Korea, and Thailand). Our finding emphasized the significant role of US monetary policy on the East Asia financial markets especially in the case of South Korea. Results show that the US Treasury bill spread had the long run and US corporate spread had the short run effects on the asset markets of these countries. More specifically, sovereign yields respond significantly to US term spreads and stock prices respond largely to US corporate spread. The responses of exchange rate and house prices to US monetary policy are significant but attenuate.
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TIJ's Research Journal of Commerce & Behavioural Science - RJCBS
Analysis of the response of share prices to monetary policy is complicated because of the fact that both gets affected by many other variables. But it is assumed that, for banking companies, the major determinant in the share price is the monetary policy adopted by the country’s Central bank. The present study aim to discuss about the impact of monetary policy(repo rate, cash reserve ratio and statutory liquidity ratio) in the share price of State bank of India, Bank of Baroda and Punjab national bank from public sector HDFC bank ,ICICI bank and Axis bank from private sector for the last five years. The companies are selected on the basis of their capitalization. The analysis had been undertaken using Event study methodology. The abnormal returns and cumulative abnormal returns have been found out to understand the effect of monetary policy on the share price. The study exposed the fact that stock prices do react to increase in monetary announcement. Key terms: Monetary policy, Ma.
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