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

  • Abdul Qayyum

    ()

    (Pakistan Institute of Development Economics (PIDE) Pakistan)

  • Saba Anwa

    ()

    (Pakistan Institute of Development Economics)

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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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. 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.
  2. Ray C. Fair, 2000. "Events that Shook the Market," Yale School of Management Working Papers ysm149, Yale School of Management.
  3. Christos Ioannidis & Alexandros Kontonikas, 2006. "Monetary Policy and the Stock Market: Some International evidence," Working Papers 2006_12, Business School - Economics, University of Glasgow.
  4. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
  5. Husain, Fazal & Qayyum, Abdul, 2006. "Stock Market Liberalisations in the South Asian Region," MPRA Paper 1716, University Library of Munich, Germany.
  6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  7. 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.
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