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Impact of Federal Funds Rate on Monthly Stocks Return of United States of America

Author

Listed:
  • Sarfaraz Javed
  • Baaeth Atallah Aldalaien
  • Uvesh Husain
  • Mohammed Shahfaraz Khan

Abstract

This study examines the impact of federal funds rate on monthly stocks return of the United States of America. The study made use of secondary data from 31st January 1980 to 31st December 2009 gotten from Fred Economic Data and Economic Research Federal Reserve Bank of St. Louis and the Ordinary Least Square Method was applied to perform the analysis using Eviews 9.0. The findings of this study reveal that before the crisis, the rate of interest significantly predicted monthly stock return while during the crisis; the rate of interest did not significantly predict monthly stock return. In addition, the growth rate of industrial production significantly predicted monthly stock return with while FFR did not significantly predict monthly stock return. Likewise, change in FFR significantly predicted monthly stock return while the growth rate of industrial production did not significantly predict monthly stock return.

Suggested Citation

  • Sarfaraz Javed & Baaeth Atallah Aldalaien & Uvesh Husain & Mohammed Shahfaraz Khan, 2021. "Impact of Federal Funds Rate on Monthly Stocks Return of United States of America," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(9), pages 105-105, July.
    • Handle: RePEc:ibn:ijbmjn:v:14:y:2021:i:9:p:105
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    References listed on IDEAS

    as
    1. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
    2. Charlotte Christiansen & Angelo Ranaldo, 2007. "Realized bond—stock correlation: Macroeconomic announcement effects," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(5), pages 439-469, May.
    3. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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