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On monetary policy and stock market anomalies

  • Kontonikas, Alexandros
  • Kostakis, Alexandros

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.

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File URL: http://hdl.handle.net/10943/233
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Paper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2010-103.

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Date of creation: 2010
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Handle: RePEc:edn:sirdps:233
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