Research on the impact and countermeasures of the common volatility of the Southeast Asian stock markets upon the stock price transmission of China's monetary policy

2011 ◽  
Author(s):  
Rui-feng Zhang ◽  
Xian-can Liu
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
Stock Price ◽  
Southeast Asian ◽  
Price Transmission ◽  
The Common ◽  
The Impact

scholarly journals Impact of FOMC announcement on stock price index in Southeast Asian countries

2017 ◽  
Vol 7 (3) ◽  
pp. 370-386
Author(s):  
Trung Hoang Bao ◽  
Cesario Mateus
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
Southeast Asian ◽  
Federal Fund ◽  
Content Type ◽  
Federal Fund Rate ◽  
The Us ◽  
The Impact ◽  
Future Path ◽  
Fund Rate

Purpose The purpose of this paper is to examine the impact of Federal Open Market Committee (FOMC) announcements, which includes information about the targeted Federal fund rate and revision to the future path of monetary policy on Southeast Asian stock market performance. Design/methodology/approach This paper has used a sample of five national equity market indexes over the period 1997-2013 that covers 132 scheduled FOMC meetings. The authors have developed the model of Wongswan (2009) and Kontonikas et al. (2013) to quantify target surprise and path surprise. Findings The results first show that all the stock markets examined do respond to information in FOMC announcements. Second, the target Federal fund rate has more impact on Southeast Asian stocks performance than information about the future path of monetary policy does. Third, different Southeast Asian equity markets respond similarly to targeting the Federal fund rate, while the responses to monetary policy differ from each other. Fourth, the response of each country to the FOMC announcement is not statistically different in the two periods of financial crisis. Research limitations/implications Southeast Asian financial markets are increasingly highly correlated to the US market. The main channel in which FOMC announcement has impact on Southeast Asian stock markets is through US price transmission. This is the case of foreign firms borrowing from the US market. Then, an increase in interest rate, which means that the cost of financing increases, will lower firm equity value. Originality/value The understanding of the response of the Southeast Asian stock markets to target surprise and path surprise, and the impact of each surprise in different time periods, would be important to investors and encourage further discussion amongst academics in Southeast Asia, where stock markets have been emerging in recent years.

scholarly journals Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View

2008 ◽  
Author(s):  
Konstantin A. Kholodilin ◽  
Alberto Montagnoli ◽  
Oreste Napolitano ◽  
Boriss Siliverstovs
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
The Impact

scholarly journals How US wages effect post-socialist European stock markets: an empirical study

2018 ◽  
Vol 7 (4) ◽  
pp. 179 ◽  
Author(s):  
Deniz Ilalan
Keyword(s):  
Monetary Policy ◽  
Empirical Study ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Hourly Wage ◽  
Fed Funds Rate ◽  
Average Hourly Wage ◽  
Wage Increases ◽  
European Stock Markets ◽  
The Impact

Following the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not. 

Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

2009 ◽  
pp. 145-180
Author(s):  
Oreste Napolitano
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Asymmetric Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Markov Switching Models ◽  
Dynamic Relationship ◽  
The Impact

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

scholarly journals Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view

2009 ◽  
Vol 105 (3) ◽  
pp. 211-213 ◽  
Author(s):  
Konstantin Kholodilin ◽  
Alberto Montagnoli ◽  
Oreste Napolitano ◽  
Boriss Siliverstovs
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
The Impact

The stock market’s reaction to accounting information: the cases of Chile and Peru

2016 ◽  
Vol 6 (3) ◽  
pp. 254-268 ◽  
Author(s):  
Mauricio Melgarejo ◽  
Eduardo Montiel ◽  
Luis Sanz
Keyword(s):  
Latin American ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Small Firms ◽  
Accounting Information ◽  
Abnormal Returns ◽  
Earnings Announcement ◽  
Content Type ◽  
The Impact

Purpose – The purpose of this paper is to analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru. Design/methodology/approach – This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings – The authors find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. The authors also find that these two effects are driven by small firms. Originality/value – This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

scholarly journals The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries

2020 ◽  
pp. 097215092095727
Author(s):  
Bhanwar Singh ◽  
Rosy Dhall ◽  
Sahil Narang ◽  
Savita Rawat
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Event Study ◽  
Stock Markets ◽  
Stock Price ◽  
Negative Impact ◽  
Panel Data Analysis ◽  
Abnormal Returns ◽  
Developed Countries ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the stock markets of G-20 countries. We use an event study methodology to measure abnormal returns (ARs) and panel data regression to explain the causes of ARs. Our sample consists of indices in G-20 countries. The observed window comprises 58 days post the COVID-19 outbreak news release in the international media, and the estimation window consists of 150 days before the event date. We find statistically significant negative ARs in the four sub-event windows during the 58 days. Negative ARs are significant for developing as well as developed countries. The findings of this study reveal that cumulative average abnormal return (CAAR) from day 0 to day 43, ranging from –0.70 per cent to –42.69 per cent, is a consequence of increased panic in the stock markets resulting from an increased number of COVID-19 positive cases in the G-20 countries. From day 43 to day 57, CAAR ranging from –42.69 per cent to –29.77 per cent indicates the recovery of stock markets after a major stock price correction due to COVID-19. Additionally, the results of panel data analysis confirm the recovery of stock markets from the negative impact of COVID-19.

Redistributive Politics and Stock Price Dispersion

2003 ◽  
Vol 33 (3) ◽  
pp. 367-395 ◽  
Author(s):  
FIONA McGILLIVRAY
Keyword(s):  
Political Institutions ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Political Change ◽  
Time Series Data ◽  
Series Data ◽  
Cross Sectional ◽  
Price Changes ◽  
The Impact

Cross-sectional time-series data from fourteen stock markets, from 1973 to 1996, are used to study how political institutions compare in affecting party governments' incentives to enrich one group of industries at the expense of another. Using measures of cross-sectoral variance of price changes within stock markets as a proxy for change in redistributive policy, I show that political change is important in both proportional representation (PR) and majoritarian systems. As parties shift in and out of government, trade and industrial policy is redistributed to favour the parties' industrial supporters. Such changes in policy increase the cross-sectoral dispersion in price changes, with newly advantaged industries seeing their stock increase, while the price of those losing favourable policy declines. The temporal impact of redistribution differs across electoral systems, with the impact of political change being more immediate in majoritarian systems and the effect being more diffuse in PR systems. Majoritarian systems are also more responsive to economic shocks, while changes in economic conditions have few discernable effects on the dispersion of stock prices in PR countries. PR systems, however, experience overall higher levels of dispersion. I contrast these results with the dominant extant arguments of radical policy shifts in majoritarian systems and policy stability in PR systems.

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