On Monetary Policy and Stock Market Anomalies
AbstractThis study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocksâ impact on these portfolios is significant and pronounced only during the pre-1983 period.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 40 (2013)
Issue (Month): 7-8 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
Other versions of this item:
- Kontonikas, Alexandros & Kostakis, Alexandros, 2010. "On monetary policy and stock market anomalies," SIRE Discussion Papers 2010-103, Scottish Institute for Research in Economics (SIRE).
- Alexandros Kontonikas & Alexandros Kostakis, 2010. "On monetary policy and stock market anomalies," Working Papers 2010_29, Business School - Economics, University of Glasgow.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis,"
2013_13, Business School - Economics, University of Glasgow.
- Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013. "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers 2013-58, Scottish Institute for Research in Economics (SIRE).
- Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012.
"Stock market reaction to fed funds rate surprises: state dependence and the financial crisis,"
2012_11, Business School - Economics, University of Glasgow.
- Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
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