Monetary policy surprises and firm-level stock return predictability: evidence from a new panel-based approach

Floro, Danvee

doi:10.1080/13504851.2017.1414929

Cited by 2 publications

(1 citation statement)

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“…For Barsky (1989) the positive relationship may be a function of varying risk premium. Few other empirical studies have also suggested that there is no relationship between monetary policy aggregates and the stock market performance (See for example: Jasen & Zervou, 2017;Floro, 2017). In Egypt, Sourial (2000) tested the relationship between the Egyptian stock market returns and monetary policy using Bayesian VAR models from June 1992 to April 2000.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Relationship between Interest Rate and Tourism Stock Performance: Empirical Evidence from Egyptian Exchange

Ahmed¹

2019

International Journal of Heritage, Tourism and Hospitality

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Tourism industry plays a significant role in the economic development in Egypt. Identifying the effects of macroeconomic variables on the performance of tourism companies is important and of great interest to decision-makers and investors. The main purpose of this study is to investigate the dynamic relation between interest rate and the stock performance of tourism companies, as measured by the stock price, in the Egyptian Exchange (EGX). The linear Granger causality test, Cointegration analysis and Error Correction Model (ECM) are employed to establish the relationship between the tested variables. Findings show that a unidirectional causal relationship exists between the variables evaluated from interest rate to tourism stock price. A positive longrun cointegration between the tested variables is observed and a rise in interest rate by 1% triggers stock price rise of 26.8%. The coefficient of error correction indicates that 0.03% of the deviation of stock price is adjusted in the short-run. The study ends with implications for decision-makers, financial executives in tourism companies and researchers in the field.

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Section: Literature Reviewmentioning

confidence: 99%

Dynamic Relationship between Interest Rate and Tourism Stock Performance: Empirical Evidence from Egyptian Exchange

Ahmed¹

2019

International Journal of Heritage, Tourism and Hospitality

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The impact of central bank policy on transport asset prices: Evidence from the US airline industry

Sobieralski

2021

Research in Transportation Business & Management

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Monetary policy surprises and firm-level stock return predictability: evidence from a new panel-based approach

Cited by 2 publications

References 15 publications

Dynamic Relationship between Interest Rate and Tourism Stock Performance: Empirical Evidence from Egyptian Exchange

Dynamic Relationship between Interest Rate and Tourism Stock Performance: Empirical Evidence from Egyptian Exchange

The impact of central bank policy on transport asset prices: Evidence from the US airline industry

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