Sasidharan, Anand (2009): Stock Market's Reaction to Monetary Policy Announcements in India.
Download (267Kb) | Preview
The paper examines stock market behaviour on days preceding and succeeding the announcement of a change in the monetary policy stance. Market's plausible reactions are tested using nonparametric statistics. The tests reveals that there is no systematic pattern in its reaction, neither towards the type of policy stance (expansionary or contractionary), nor during the days corresponding to the `event'.
|Item Type:||MPRA Paper|
|Original Title:||Stock Market's Reaction to Monetary Policy Announcements in India|
|Keywords:||Monetary Policy; Stock Market; Event Study; Semi-strong Efficiency; EMH; Stock Market Efficiency; Non parametric; Indian Stock Market|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Anand Sasidharan|
|Date Deposited:||02. Aug 2010 02:03|
|Last Modified:||12. Feb 2013 08:23|
Agrawal, G. (2007). Monetary policy announcements and stock price behavior: Empirical evidence from CNX Nifty. Decision 34 (2), 133.
Bernanke, Ben S, K. K. N. (2003). What explains the stock markets reaction to federal reserve policy. Mimeo, Board of Governors and Federal Reserve Bank of New York.
Bomfim, A. N. (2001). Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market. Journal of Banking and Finance 27 (1), 133-151.
Dolley, J. (1933). Characteristics and procedure of common stock split-ups. Harvard Business Review, 316-326.
Ehrmann, M. and M. Fratzscher (2004, May). Taking stock: Monetary policy transmission to equity markets. European Central Bank Working Paper Series (354).
Fama, E. F. (1965, January). The behavior of stock-market prices. The Journal of Business 38 (1), 34-105.
Fama, E. F. (1991, December). Efficient capital markets II. The Journal of Finance 46 (5), 1575-1617.
Fama, E. F., L. Fisher, M. Jensen, and R. Roll (1969). The adjustment of stock prices to new information. Interational Economic Review 10, 1-21.
Gertler, Mark, G. S. (1994). Monetary policy, business cycles, and the behavior of small manufacturing firms. Quarterly Journal of Economics 109 (2), 309-40.
Hollander, M. and D. A. Wolfe (1973). Nonparametric Statistical Methods. John Wiley and Sons.
Kashyap, A. K., J. C. Stein, and D. W. Wilcox (1993). Monetary policy and credit conditions: Evidence from the composition of external finance. American Economic Review 83 (1), 78-98.
Keller, G. (2001). Applied Statistics With Microsoft Excel. Duxbury.
Kuttner, K. (2001). Monetary policy surprises and interest rates: Evidence from the fed funds futures market. Journal of Monetary Economics 47, 523-544.
Lobo, B. J. (2000). Asymmetric effects of interest rate changes on stock prices. The Financial Review 35, 125-144.
Sasidharan, A. (2009, December). Structural changes in India's stock markets' efficiency. Munich Personal RePEc Archive Paper (19501).
Thorbecke, W. (1997). On stock market returns and monetary policy. Journal of Finance 52, 635-654.