Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?

“…These studies suggested that the emerging markets' stock returns are more responsive to shocks related to changes in global trade conditions and global economic environment during the crisis period; such as U.S. industrial production uncertainty shocks and U.S. stock market volatility shocks. Yang and Hamori (2014) empirical study provides evidence that the influences of the changes in U.S. monetary policy did spillover to the ASEAN stock markets but only during the tranquil period.…”

“…Theoretically, innovations in macroeconomic variables such as industrial production index, and real GDP growth rates have systematic effect on stock market returns (Che, Roll & Ross 1986;Schwert 1989;Hamilton and Gang 1996;Tang, Habibullah, and Puah 2007;Tsouma 2009;Franses and Mees 2011;Narayan and Narayan 2012;Yang andHamori 2014 andDonadelli 2014). The existing empirical analyses on the fluctuation in Indian economic activities and its impact on the stock markets in the Asian countries are still limited.…”

Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

“…Markets are more sensitive to changes in the U.S. monetary policy which may influence the stock markets of both the developed and developing economies. However, the impact of U.S. monetary policy towards developing markets is more prominent relative to the impact on developed markets (Yang and Hamori, 2014). Rigobon and Sack (2003) determined that movements in the stock market can have a significant influence on the macro-economy and thus considered it an important parameter to use to determine monetary policy.…”

“…They employed identification techniques based on the heteroscedasticity of stock market returns to examine the reaction of monetary policy to changes in the performance of the stock market and found a significant policy response, which indicated that a 5% rise (fall) in the S&P 500 index increases the likelihood of a 25-basis point tightening (easing) by about a half (Rigobon & Sack, 2003). Yang and Hamori (2014) analyzed the spillover effect of US monetary policy on the Indonesian, Singaporean, and Thai Stock Markets during the period that lasted from 1990 to 2012. They employed univariate and multivariate Markovswitching models and reported that US interest rates inversely influenced these markets during the boom period, however, this influence vanishes during the recession period.…”

Injecting liquidity into liquidity research

“…They find that this facility helps stabilize asset outflows from money market funds and reduces assetbacked commercial paper yields significantly. Yang and Hamori (2014) investigate the spillover effect from US monetary policy to ASEAN stock markets. They find the existence of two distinct regimes for both US monetary policy and the stock markets with US interest rates having a negative effect on ASEAN stock markets during economic expansionary periods but that this kind of effect disappears during economic crisis periods.…”