Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31188.
Date of creation: 2011
Date of revision:
Publication status: Published in International Journal of Business and Social Science 11.2(2011): pp. 18-24
Interest Rate; Stock Market; Monetary Policy; EGARCH; Pakistan;
Other versions of this item:
- Abdul Qayyum & Saba Anwa, 2010. "Impact of monetary policy on the volatility of stock market in pakistan," Economics Bulletin, AccessEcon, vol. 30(4), pages A28.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
- NEP-MAC-2011-06-11 (Macroeconomics)
- NEP-MON-2011-06-11 (Monetary Economics)
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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- 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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