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European monetary policy surprises: the aggregate and sectoral stock market response

Author

Listed:
  • Don Bredin

    (University College Dublin, Ireland)

  • Stuart Hyde

    (University of Manchester, UK)

  • Dirk Nitzsche

    (City University, UK)

  • Gerard O'Reilly

    (CBSFAI, Ireland)

Abstract

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in the UK and German|Euro area policy rates on the UK and German aggregate and sectoral equity returns in an event study. The decomposition of (un)expected changes in policy rates is based on futures markets. Overall, our results suggest that, the UK monetary policy surprises have a significant negative influence on both aggregate and industry level returns in both countries. The influence of German|Euro area monetary policy shocks appears insignificant for both Germany and the UK. Copyright © 2007 John Wiley & Sons, Ltd.

Suggested Citation

  • Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'Reilly, 2009. "European monetary policy surprises: the aggregate and sectoral stock market response," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 156-171.
    • Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:2:p:156-171
    DOI: 10.1002/ijfe.341
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