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Impact of monetary policy on the volatility of stock market in pakistan

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  • Abdul Qayyum

    ()
    (Pakistan Institute of Development Economics (PIDE) Pakistan)

  • Saba Anwa

    ()
    (Pakistan Institute of Development Economics)

Abstract

This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any change in the monetary policy stance have a significant impact on the volatility of the stock market. Thus contributing to the ongoing debate in the monetary policy rule literature regarding the proactive and reactive approach

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File URL: http://www.accessecon.com/pubs/EB/2010/Volume30/EB-10-V30-I4-A28.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 4 ()
Pages: A28

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Handle: RePEc:ebl:ecbull:eb-10-00665

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  1. Husain, Fazal & Qayyum, Abdul, 2006. "Stock Market Liberalisations in the South Asian Region," MPRA Paper 1716, University Library of Munich, Germany.
  2. Ray C. Fair, 2002. "Events That Shook the Market," The Journal of Business, University of Chicago Press, vol. 75(4), pages 713-732, October.
  3. Ben Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  4. Patelis, Alex D, 1997. " Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-72, December.
  5. A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli, 2006. "Monetary Policy Shocks and Stock Returns: Evidence from the British Market," Working Papers 2006_15, Business School - Economics, University of Glasgow.
  6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  7. Christos Ioannidis & Alexandros Kontonikas, 2006. "Monetary Policy and the Stock Market: Some International evidence," Working Papers 2006_12, Business School - Economics, University of Glasgow.
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Cited by:
  1. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.

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