Stock Market's Reaction to Monetary Policy Announcements in India
AbstractThe paper examines stock market behaviour on days preceding and succeeding the announcement of a change in the monetary policy stance. Market's plausible reactions are tested using nonparametric statistics. The tests reveals that there is no systematic pattern in its reaction, neither towards the type of policy stance (expansionary or contractionary), nor during the days corresponding to the `event'.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24190.
Date of creation: Jun 2009
Date of revision: Jul 2010
Monetary Policy; Stock Market; Event Study; Semi-strong Efficiency; EMH; Stock Market Efficiency; Non parametric; Indian Stock Market;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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