scholarly journals The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns : Cross-Country Evidence and Sensitivity Analyses

2001 ◽  
Vol 2001 (42) ◽  
pp. 1-41 ◽  
Author(s):  
J. B. Durham ◽  
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Sensitivity Analyses ◽  
Market Returns ◽  
Stock Market Returns ◽  
Cross Country ◽  
Effect Of Monetary Policy

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.

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 The Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran

2019 ◽  
Vol 9 (36) ◽  
pp. 75-126
Author(s):  
Qholamreza Rezaei ◽  
Hamid Shahrestani ◽  
Kambiz Hozhabre kiani ◽  
Mohsen Mehrara ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Policy Tools ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact
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