Stock Market's Reaction to Monetary Policy Announcements in India

Sasidharan, Anand (2009): Stock Market's Reaction to Monetary Policy Announcements in India.

Abstract

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
• Language: English
• 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 ; Insider Trading; 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

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