The effect of monetary policy on raising funds in the stock market: Empirical analysis based on VAR model

2020 ◽  
Author(s):  
Zheng Ruibo
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Empirical Analysis ◽  
Var Model ◽  
Effect Of Monetary Policy

scholarly journals Monetary Policy and Liquidity of Vietnam’s Stock Market

2016 ◽  
Vol 23 (02) ◽  
pp. 02-21
Author(s):  
Ly Tran Thi Hai
Keyword(s):  
Time Series ◽  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Industrial Production ◽  
Market Liquidity ◽  
Var Model ◽  
Market Returns ◽  
Liquidity Measures ◽  
The Impact

This study investigates the impact of monetary policy on liquidity of Vietnam’s stock market from September 2007 to November 2014. Time series of liquidity are determined by monthly liquidity data for 643 enterprises in the surveyed period. Two variables of the monetary policy, including growth in money supply and interbank rate, are employed in VAR model along with four different measures of market liquidity. The results show that unexpected variance in the two monetary policy variables has no significant impact on the market liquidity, which, in turn, may be improved by the positive shocks of market returns, inflation, and growth in industrial production. Market variance does produce certain effects, but discrepancies occur in the signs of various liquidity measures.

scholarly journals Effect of Monetary Policy on the Nigerian Stock Market: A Smooth Transition Autoregressive Approach

2021 ◽  
Vol 12 (No. 1) ◽  
pp. 1-21
Author(s):  
Jamilu S. Babangida ◽  
Asad-Ul I. Khan
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Stock Exchange ◽  
Smooth Transition ◽  
Exchange Market ◽  
Treasury Bill ◽  
Negative Effect ◽  
Effect Of Monetary Policy ◽  
Smooth Transition Autoregressive

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.

THE INFLUENCES OF STOCK MARKET ON EXCHANGE-TRADED FUND UNDER THE THRESHOLD EFFECT OF MONETARY POLICY IN CHINA

2021 ◽  
pp. 1-21
Author(s):  
Tzu-Yi Yang ◽  
Phan Van Hung ◽  
Chia-Jui Chang ◽  
Nguyen Phuc Nguyen
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Threshold Effect ◽  
Smooth Transition ◽  
Exchange Traded Funds ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Variables ◽  
Effect Of Monetary Policy ◽  
Exchange Traded Fund

This paper estimates the smooth transition autoregressive model with exogenous variables to evaluate the effects of stock market returns on the exchange-traded funds’ (ETFs) returns in China with reserve requirement ratio (RRR) from monetary policy as a transition variable. The sample used in this study lasts from March 4, 2005 to June 30, 2017. The empirical result points out that there is the effect of RRR value on the relationship between stock market returns and ETF return. Moreover, these effects are variable depending on the conversion and its changes over time in different variations of threshold intervals. Lastly, the larger the change of China’s stock market variables’ lag period, the smaller the impacts on Chinese ETF return.

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