Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

Val, Flávio de Freitas; Klötzle, Marcelo Cabús; Pinto, Antônio Carlos Figueiredo; Barbedo, Cláudio Henrique da Silveira

doi:10.1080/1540496x.2017.1364622

Cited by 14 publications

(6 citation statements)

References 25 publications

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“…It gives evidence that there is relationship exist between public mood and investors behaviour. Case (2018) empirically analyses association between Share markets with monetary policy executed by central bank of Brazil. The study declared that there is significant impact of implementation of monetary policy on stock market.…”

Section: Previous Studiesmentioning

confidence: 99%

Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

Irfan

Kassim

Dhimmar

2021

IJIEF

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The Covid-19 is an unexpected event in the world history with substantial socio-economic impact on the global economy. The global financial market was also badly affected as reflected by the extreme volatility as well as weak performances in the stock markets all over the world. How do the Islamic stock markets in various parts of the world behave during the Covid-19 shock? The objective of this study is to identify the impact of the Covid-19 pandemic as declared by the World Health Organization on the Islamic stock markets. Using the threshold volatility and event study models, the study analyses the impact of the Covid-19 announcement on the Islamic stock indices in the Indian Stock Exchange (represented by the Bombay Stock Exchange - BSE Shariah Index) and Indonesian Stock Exchange (represented by the Jakarta Islamic Indices - JII). With the date of event identified as 11th March 2020, the event window consists of 60, 30, and 20 days. The results show that the BSE Shariah and JII have positive coefficients, with the BSE Shariah Index shows negative response to the announcement of Covid-19 as global pandemic. On the other hand, the JII reacted positively to the event. The study shows the reaction of a stock exchange is dependent on other economic factors unique to the country, resulting in the events impact of the Covid-19 to vary from one country to another.

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Section: Previous Studiesmentioning

confidence: 99%

Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

Irfan

Kassim

Dhimmar

2021

IJIEF

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“…Since the seminal work by Draper [7], abundant papers have explored how announcements or major events are impounded into financial asset prices [8][9][10][11][12]. However, little literature deals with the price reactions to the different types of OPEC's announcements based on the event study methodology.…”

Section: Opecmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.

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“…Among others, the contribution provided by (Aktas et al, 2007;Binder, 1998;Corrado, 2011;Kritzman, 1994) is accepted as a cornerstone. It is found that ESM is employed to various fields like finance (MacKinlay, 1997), accounting (Johannesen & Larsen, 2016), and many others (Hartman et al, 2019;Li et al, 2017;Val et al, 2018). More specifically, some others have put their focus for examining the trends in the stock returns for both local and multinational organizations.…”

Section: Review Of Literaturementioning

confidence: 99%

Outbreak of epidemic diseases and stock returns: an event study of emerging economy

Shahzad

Yannan

Kamran

et al. 2021

Economic Research-Ekonomska Istraživanja

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The massive contagion diseases such as COVID-19 amongst others, has affected nearly all the economies and business concerns that leads to substantial decline in the cashflows and returns dynamics. Considering the same, this paper intends to investigate the impact of outbreak of epidemic diseases on the stock return (observed through cumulative average abnormal return (CAAR)) for the listed banks in Pakistan from 2011 to 2020. Event study method was employed and five days pre and ten days post event of each disease were observed as an event window. The results confirm that none of the epidemic disease outbreak significantly determines the CAAR for all listed banks, except COVID-19 and Dengue Fever during the event day. There is a negative and significant impact of COVID-19 on the stock returns for all the banks in Pakistan from the event day to day eight except day seven. More specifically, COVID-19 is found to be a significant indicator for the stock returns of private banks. However, in case of public listed banks, only the outbreak of HIV cases possesses significant and positive impact on CAAR at the day of event. These findings would guide all stakeholders such as investors, financial analysts, regulators, and chief risk officers specifically in banks to make strategic decisions while analyzing the relationship between epidemic outbreaks and stock returns.

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Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

Cited by 14 publications

References 25 publications

Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

The Oil Market Reactions to OPEC’s Announcements

Outbreak of epidemic diseases and stock returns: an event study of emerging economy

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