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Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand

  • Vithessonthi, Chaiporn
  • Techarongrojwong, Yaowaluk

We examine the effect of monetary policy announcements in Thailand, which is one of emerging market countries in Asia, on stock prices at the firm level. We find that the expected change, rather than the unexpected change, in interest rates affects stock prices. The stock price response to the interest rate announcement is asymmetric. For instance, the relation between interest rate surprises and stock prices is conditional on the direction of the interest rate change. In general, macroeconomic conditions and firm characteristics cannot explain the stock price reaction to the announcement. In addition, stock prices of firms in different industries appear to react heterogeneously to the interest rate announcement.

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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 23 (2013)
Issue (Month): 5 ()
Pages: 446-469

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Handle: RePEc:eee:mulfin:v:23:y:2013:i:5:p:446-469
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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