Monetary Policy and Stock Market Volatility in the ASEAN5: Asymmetries Over Bull and Bear Markets

Zare, Roohollah; Azali, M.; Habibullah, Muzafar Shah

doi:10.1016/s2212-5671(13)00213-x

Cited by 24 publications

(33 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In the case of high inflation, state banks have tightened the monetary policy by raising interest rates, which in the short term will not affect the stock market, but in the long term will have negative affect to businesses, especially companies that use large amounts of bank loans for their business operations. The research results of interest rate is compatible with previous studies of Ali (2014); Dufour & Tessier (2006);Okpara (2010);Fischbacher (2012); Zare et al (2013) and Gali & GAMBETTI (2013).…”

Section: Discussionsupporting

confidence: 92%

See 1 more Smart Citation

Impacts of Monetary Policy on Stock Market through Survey from Investors

Nguyen¹,

Linh²,

Nguyen³

2016

JMS

View full text Add to dashboard Cite

Analyzing the impacts of the monetary policy on the stock market is very important to investors. There are many papers studying this relationship, but study based on investors is still limited. This paper is conducted by interviewing experts and Stock Investors in Vietnam. After having research results, the authors continue to use multi-variables method (EFA, regression analysis) and get the following outcomes: According to investors, the policy of interest rate, required reserved ration and exchange rate have impacts on Vietnam stock market; the policy of money supply does not have influence on the market. At the same time, interest rate has the strongest impact on stock market following by the required reserved ratio and the exchange rate.

show abstract

Section: Discussionsupporting

confidence: 92%

“…Most of them approved that stock indices react sensitively to changes of monetary policy (Zare, Azali, & Habibullah, 2013). Stock Investors always keep their eyes on market's changes in general and the monetary policy of the state bank in particular in order that they can make a right decision which will bring benefit.…”

Section: Introductionmentioning

confidence: 99%

Impacts of Monetary Policy on Stock Market through Survey from Investors

Nguyen¹,

Linh²,

Nguyen³

2016

JMS

View full text Add to dashboard Cite

show abstract

“…The policy of interest rates is attractive to researchers to assess the impact on the stock market. Studies have shown that interest has an opposite impact on the stock price (Ali, 2014;Dufour & Tessier, 2006;Okpara, 2010;Fischbacher, 2012;Zare et al, 2013;Gali & GAMBETTI, 2013). At the second rank, exchange rate policy can help investors to forrcast the market change through the exchange rate policies of central banks (Maskay, 2007;Jamil & Ulla, 2013;Adjasi et al, 2008).…”

Section: Theoritical Overviewmentioning

confidence: 99%

“…Interest rate - Ali, 2014;Dufour & Tessier, 2006;Okpara, 2010;Fischbacher, 2012;Zare & et al, 2013;Gali & Gambetti, 2013Exchang rate -/+ Maskay, 2007Jamil & Ulla, 2013;Adjasi & et al, 2008Money Supply + Maskay, 2007Nofeldt, 2014Required reserve ratio -Teja & et al, 2013 Source: Authors' collection.…”

Section: Variable Name Aspect Authorsmentioning

confidence: 99%

See 1 more Smart Citation

Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam

Nguyen¹,

Linh²,

Nguyen³

2016

IJEF

View full text Add to dashboard Cite

Evaluation of the impact of monetary policy on Vietnam stock market plays an important role for economists as well as stock investors. Stock price index not only gets impacts from the macroeconomic factors such as oil price, gold prices…but also be very sensitive to the changes in monetary policy. For each different markets, stock index are also different from each other. Hence, this artical is conducted to evaluate the impacts of monetary policy on Vietnam Stock Index (VNIDEX) in the period of the time from 2006 to 2015. The author uses GJR -GARCH model and ARDL research with time-serie data by statistical methods and quantitative analysis to evaluate the above impact related to lag and shocks in the market. The result shows that the monetary policy including interests, exchange rate and required reserve ratio has a negative impact on stock price in long term. Besides, both bad or good market shock cause changes of stock price at stable level.

show abstract

Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries

Thampanya

Nasir

et al. 2020

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

Fundamental and behavioural factors are the two determinants of stock prices but are rarely investigated simultaneously. This paper examines the role of fundamental and behavioural factors in stock return volatility in the Association of Southeast Asian Nations-5 countries (ASEAN-5) for the period of January 1995 to December 2018 comprising three regimes (before Asian, between Asian and Global, and after Global financial crises). We find that fundamental factors play crucial roles in influencing stock market volatility in Malaysia, Thailand, and Singapore; whereas, behavioural factors affect stock market volatility more significantly than fundamental factors in Indonesia and the Philippines. We find distinctive differences across the three regimes supporting the above findings. Further our results suggest that ASEAN-5 has made encouraging progress of integration with Malaysia and Thailand being closer to Singapore in terms of economic development, corporate values, and political stability; however, Indonesia and the Philippines are much behind showing economic instability and their vulnerabilities are especially associated with the timing of the Asian and global financial crises. Our findings also suggest that monetary policies play a more important role than fiscal policies in the region and highlight a number of policy implications.

show abstract

Monetary Policy and Stock Market Volatility in the ASEAN5: Asymmetries Over Bull and Bear Markets

Cited by 24 publications

References 24 publications

Impacts of Monetary Policy on Stock Market through Survey from Investors

Impacts of Monetary Policy on Stock Market through Survey from Investors

Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam

Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries

Contact Info

Product

Resources

About