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Monetary Policy Announcements and Stock Returns: Evidence from the Pakistani Market

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  • Habib Rahman

    ()

  • Hasan Mohsin

    ()

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File URL: http://hdl.handle.net/10.1007/s11300-011-0208-0
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Bibliographic Info

Article provided by Springer in its journal Transition Studies Review.

Volume (Year): 18 (2011)
Issue (Month): 2 (December)
Pages: 342-360

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Handle: RePEc:spr:trstrv:v:18:y:2011:i:2:p:342-360

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Web page: http://www.springerlink.com/link.asp?id=112913

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Related research

Keywords: Monetary policy; Stock returns; Anticipated and un-anticipated interest rates; GOOO;

References

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  1. Hakan Berument & Hasan Olgun & BaĆ¾ak Ceylan, 2006. "Inflation Uncertainty and Interest Rates : Is The Fisher Relation Universal?," Departmental Working Papers 0607, Bilkent University, Department of Economics.
  2. Ehrmann, Michael & Fratzscher, Marcel, 2003. "Equal size, equal role? Interest rate interdependence between the Euro area and the United States," CFS Working Paper Series 2003/46, Center for Financial Studies (CFS).
  3. Jochen R. Andritzky & Geoffrey J. Bannister & Natalia T. Tamirisa, 2005. "The Impact of Macroeconomic Announcementson Emerging Market Bonds," IMF Working Papers 05/83, International Monetary Fund.
  4. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'reilly, 2007. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5-6), pages 872-888.
  5. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
  6. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June.
  7. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September.
  8. Reinhart, Vincent & Simin, Timothy, 1997. "The market reaction to federal reserve policy action from 1989 to 1992," Journal of Economics and Business, Elsevier, vol. 49(2), pages 149-168.
  9. 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.
  10. Allan Timmermann & Gabriel Perez-Quiros, 1999. "Firm Size and Cyclical Variations in Stock Returns," FMG Discussion Papers dp335, Financial Markets Group.
  11. William Poole & Robert H. Rasche, 2000. "Perfecting the market's knowledge of monetary policy," Working Papers 2000-010, Federal Reserve Bank of St. Louis.
  12. Bomfim, Antulio N., 2003. "Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 133-151, January.
  13. Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
  14. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1989. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
  15. Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, vol. 83(1), pages 78-98, March.
  16. A. Gregoriou & A. Kontonikas & R. MacDonald & A. Montagnoli, 2009. "Monetary policy shocks and stock returns: evidence from the British market," Financial Markets and Portfolio Management, Springer, vol. 23(4), pages 401-410, December.
  17. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
  18. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
  19. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
  20. Timothy Cook & Thomas Hahn, 1988. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Working Paper 88-04, Federal Reserve Bank of Richmond.
  21. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
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