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Macroeconomic cycles and the stock market's reaction to monetary policy

Citations

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Cited by:

  1. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
  2. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
  3. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  4. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
  5. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
  6. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
  7. Mandel, Antoine & Veetil, Vipin P., 2021. "Monetary dynamics in a network economy," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  8. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Discussion Paper 2012-012, Tilburg University, Center for Economic Research.
  9. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
  10. Tsai, Chun-Li, 2014. "The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 273-290.
  11. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
  12. Umut UYAR & Sinem KANGALLI UYAR & Altan GOKCE, 2016. "Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 587-598.
  13. Cepni, Oguzhan & Gupta, Rangan, 2021. "Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  14. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
  15. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
  16. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
  17. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
  18. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
  19. Sequeira, John M., 2021. "Monetary policy surprises, stock returns, and financial and liquidity constraints, in an exchange rate monetary policy system," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 226-236.
  20. Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
  21. Acuña, Andres A. & Pinto, Cristian F., 2012. "Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno [Stock return response to monetary policy: Evidence from the Chilean market]," MPRA Paper 41091, University Library of Munich, Germany.
  22. Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
  23. Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022. "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 216-231.
  24. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
  25. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
  26. Chuliá, Helena & Martens, Martin & Dijk, Dick van, 2010. "Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 834-839, April.
  27. Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.
  28. Ming-Hsiang Chen, 2014. "Cyclical Variation in the Effect of Federal Funds Target Rate Surprises on Hospitality Index Returns," Tourism Economics, , vol. 20(2), pages 373-387, April.
  29. Peng, Yulei & Zervou, Anastasia, 2022. "Monetary policy rules and the equity premium in a segmented markets model," Journal of Macroeconomics, Elsevier, vol. 73(C).
  30. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2014. "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 97-117.
  31. Krieger, Kevin & Mauck, Nathan & Vazquez, Joseph, 2015. "Comparing U.S. and European market volatility responses to interest rate policy announcements," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 127-136.
  32. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
  33. Aakriti Mathur & Rajeswari Sengupta, 2019. "Analysing monetary policy statements of the Reserve Bank of India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2019-012, Indira Gandhi Institute of Development Research, Mumbai, India.
  34. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
  35. WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013. "Can federal reserve policy deviation explain response patterns of financial markets over time?," LIDAM Discussion Papers CORE 2013029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014. "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers 24516, East Asian Bureau of Economic Research.
  37. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
  38. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
  39. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers 2011-31, Scottish Institute for Research in Economics (SIRE).
  40. Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
  41. Challe, Edouard & Giannitsarou, Chryssi, 2014. "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
  42. Ahmed Samour, Aliya Zhakanova Isiksal, Turgut Türsoy, 2023. "Effects of the domestic and ECB interest rates on Türkiye's stock market: Empirical evidence from a newly developed combined co-integration and causality analysis," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 20(2), pages 223-238, December.
  43. Kim, Suk-Joong & Nguyen, Do Quoc Tho, 2009. "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 415-431, July.
  44. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  45. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
  46. Salvatore Perdichizzi, 2017. "The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns," DISCE - Working Papers del Dipartimento di Economia e Finanza def059, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  47. Zhang, Dongyang, 2020. "Do credit squeezes influence firm survival? An empirical investigation of China," Economic Systems, Elsevier, vol. 44(3).
  48. Bouoiyour, Jamal & Selmi, Refk, 2016. "The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach," MPRA Paper 70379, University Library of Munich, Germany.
  49. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Other publications TiSEM b44feba5-acd3-43b8-969e-1, Tilburg University, School of Economics and Management.
  50. Victoria Atanasov, 2016. "Conditional interest rate risk and the cross‐section of excess stock returns," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 23-32, September.
  51. Niko Hauzenberger & Michael Pfarrhofer, 2021. "Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(4), pages 1261-1291, October.
  52. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
  53. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.
  54. Kenneth Kalu, 2017. "A Re-Examination of the Asymmetry between Interest Rates and Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(6), pages 23-30, June.
  55. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
  56. Nikkinen, Jussi & Rothovius, Timo, 2019. "The EIA WPSR release, OVX and crude oil internet interest," Energy, Elsevier, vol. 166(C), pages 131-141.
  57. Mai, Nhat Chi, 2016. "The Influence Of Macroeconomic Announcements Into Vietnamese Stock Market Volatility," OSF Preprints ydmhx, Center for Open Science.
  58. Trung Hoang Bao & Cesario Mateus, 2017. "Impact of FOMC announcement on stock price index in Southeast Asian countries," China Finance Review International, Emerald Group Publishing Limited, vol. 7(3), pages 370-386, August.
  59. Eva A. Arnold, 2013. "The Role of Data Revisions and Disagreement in Professional Forecasts," Macroeconomics and Finance Series 201303, University of Hamburg, Department of Socioeconomics.
  60. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  61. Herwartz, Helmut & Morales-Arias, Leonardo, 2010. "An empirical analysis of the relationship between US monetary policy and international asset prices," Kiel Working Papers 1581, Kiel Institute for the World Economy (IfW Kiel).
  62. Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
  63. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
  64. Alexander Kurov, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, John Wiley & Sons, vol. 21(4), pages 175-187, November.
  65. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
  66. Hossain, Md. Sajib & Hossain, Md. Amzad & Amin, Shabnaz, 2016. "An Empirical Analysis of the Relationship between Monetary Policy Stance and Stock Price in Bangladesh," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 39(1-2), pages 27-57, March-Jun.
  67. Brett W. Fawley & Christopher J. Neely, 2014. "The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices," Review, Federal Reserve Bank of St. Louis, vol. 96(1), pages 73-109.
  68. Sekandary, Ghezal & Bask, Mikael, 2023. "Monetary policy uncertainty, monetary policy surprises and stock returns," Journal of Economics and Business, Elsevier, vol. 124(C).
  69. Fatum, Rasmus & Hutchison, Michael & Wu, Thomas, 2012. "Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 542-560.
  70. Ellis B. Heath & Seth J. Kopchak, 2015. "The Response of the Mexican Equity Market to US Monetary Surprises," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 87-111, August.
  71. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
  72. Moid U. Ahmad, 2015. "Does CRR and Repo Change Affect Corporate Output?," Jindal Journal of Business Research, , vol. 4(1-2), pages 115-125, June.
  73. Tsai, Chun-Li, 2013. "The high-frequency asymmetric response of stock returns to monetary policy for high oil price events," Energy Economics, Elsevier, vol. 36(C), pages 166-176.
  74. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  75. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  76. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  77. Yoshiyuki Nakazono & Satoshi Ikeda, 2016. "Stock Market Responses Under Quantitative Easing: State Dependence and Transparency in Monetary Policy," Pacific Economic Review, Wiley Blackwell, vol. 21(5), pages 560-580, December.
  78. Hematizadeh, Roksana & Tajaddini, Reza & Hallahan, Terrence, 2022. "Dynamic asset allocation strategy using a state-dependent Markov model: Applications to international equity markets," Journal of International Money and Finance, Elsevier, vol. 128(C).
  79. Jansen, Dennis W. & Tsai, Chun-Li, 2010. "Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 981-990, December.
  80. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
  81. Akan, Taner, 2023. "Can renewable energy mitigate the impacts of inflation and policy interest on climate change?," Renewable Energy, Elsevier, vol. 214(C), pages 255-289.
  82. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
  83. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  84. Kakhkharov, Jakhongir & Bianchi, Robert J., 2022. "COVID-19 and policy responses: Early evidence in banks and FinTech stocks," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  85. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2018. "Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?," BAFFI CAREFIN Working Papers 1884, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  86. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
  87. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2017. "Can the Fed Talk the Hind Legs Off the Stock Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 53-94, February.
  88. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
  89. Fang Fang & Weijia Dong & Xin Lv, 2016. "Asymmetric Reactions of China¡¯s Stock Market to Short-term Interest Rates," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(5), pages 260-270, May.
  90. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
  91. Cheah, Siew Pong & Law, Siong Hook, 2017. "Roles of Housing Wealth and Financial Wealth in Monetary Transmission Mechanism in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 51(1), pages 77-86.
  92. Andrés A. Acuna & Cristián F. Pinto, 2015. "Efectos de las decisiones de política del Banco Central sobre los retornos de la Bolsa de Comercio en Chile," Revista Ecos de Economía, Universidad EAFIT, vol. 19(40), pages 48-65, June.
  93. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  94. Oleg Kucher & Alexander Kurov, 2014. "Business cycle, storage, and energy prices," Review of Financial Economics, John Wiley & Sons, vol. 23(4), pages 217-226, November.
  95. Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019. "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 735-749, October.
  96. McCredie, Bronwyn & Docherty, Paul & Easton, Steve & Uylangco, Katherine, 2016. "The channels of monetary policy triggered by central bank actions and statements in the Australian equity market," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 46-61.
  97. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
  98. Jansen, Dennis W. & Zervou, Anastasia, 2017. "The time varying effect of monetary policy on stock returns," Economics Letters, Elsevier, vol. 160(C), pages 54-58.
  99. Muhammad Shafiullah & Usman Khalid & Sajid M. Chaudhry, 2022. "Do stock markets play a role in determining COVID‐19 economic stimulus? A cross‐country analysis," The World Economy, Wiley Blackwell, vol. 45(2), pages 386-408, February.
  100. Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
  101. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
  102. Smales, L.A. & Apergis, N., 2017. "Does more complex language in FOMC decisions impact financial markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 171-189.
  103. Sashikanta Khuntia & Gourishankar S. Hiremath, 2019. "Monetary Policy Announcements and Stock Returns: Some Further Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 801-827, December.
  104. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
  105. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
  106. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
  107. Khosravi, Taha, 2015. "The Impact of a Low Interest Rate Environment: Empirical Evidence from the Euro Area Bank Lending Survey," MPRA Paper 67363, University Library of Munich, Germany.
  108. Henry, Ólan T., 2009. "Regime switching in the relationship between equity returns and short-term interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 405-414, February.
  109. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed Talk the Hind Legs off the Stock Market? (replaces EBC DP 2011-017)," Other publications TiSEM 2cab42f6-c75d-46ef-9801-4, Tilburg University, School of Economics and Management.
  110. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
  111. Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017. "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 300-315.
  112. Can Sever, 2022. "Financial crises and institutional quality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1510-1525, January.
  113. Lee, Bong Soo, 2010. "Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1257-1273, June.
  114. Ming-Hsiang Chen, 2014. "Asymmetric Effects of Monetary Policy Changes on Hospitality Stock Performance," Tourism Economics, , vol. 20(3), pages 545-566, June.
  115. Hsu, Kuang-Chung & Chiang, Hui-Chu, 2011. "Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 339-349.
  116. Ibrahim, Mansor H. & Salim, Kinan & Abojeib, Moutaz & Yeap, Lau Wee, 2019. "Structural changes, competition and bank stability in Malaysia’s dual banking system," Economic Systems, Elsevier, vol. 43(1), pages 111-129.
  117. Drake, Leigh & Fleissig, Adrian R., 2010. "Substitution between monetary assets and consumer goods: New evidence on the monetary transmission mechanism," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2811-2821, November.
  118. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.
  119. Rafik Harkati & Syed Musa Alhabshi & Salina Kassim & Noraini Mohd Ariffin, 2022. "Market structure and power: comparative empirical evidence from a dual banking system," Economic Change and Restructuring, Springer, vol. 55(3), pages 1815-1873, August.
  120. Arash Habibi & Chin Lee, 2019. "Asymmetric Effects of Exchange Rates on Stock Prices in G7 Countries," Capital Markets Review, Malaysian Finance Association, vol. 27(1), pages 19-33.
  121. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW Kiel).
  122. Stijn Claessens & Hui Tong & Igor Zuccardi, 2015. "Saving the Euro: Mitigating Financial or Trade Spillovers?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1369-1402, October.
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