The impact of monetary policy on stock prices

Ioannidis, Christos; Kontonikas, Alexandros

doi:10.1016/j.jpolmod.2007.06.015

Cited by 128 publications

(84 citation statements)

References 17 publications

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“…On the integration of global financial markets in terms of co-movements, we do not have much evidence to cite, yet there is some empirical evidence on the comovement of stock markets in response to the monetary policy shock, for instance the study by Ioannidis and Kontonikas (2008) reported an increased co-movement of international stock returns. They argued that this relationship has grown stronger particularly after January 1999 (Common monetary policy by European Central Bank).…”

Section: Introductionmentioning

confidence: 90%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

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Section: Introductionmentioning

confidence: 90%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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“…Ioannidis and Kontonikas (2007) investigated the impact of monetary policy on stock returns in 13 OECD countries, including Switzerland, over the period 1972 -2002. Their results indicate that monetary policy shifts significantly affect stock returns.…”

Section: Review Of Literaturementioning

confidence: 99%

The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Ligocká

Pražák

Stavárek

2017

Acta Univ. Agric. Silvic. Mendelianae Brun.

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Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 -2014 we revealed a long-run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short-run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

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“…Buna göre likidite artışı, enflasyonun yükseleceği yönündeki beklentileri güçlendirerek toplam arzın düşmesine yol açmakta, dolayısıyla daralan üretim hacmi kâr payı veriminin azalmasına neden olarak hisse senedi fiyatlarının düşmesiyle sonuçlanmaktadır. 13 OECD ülkesinde para politikası değişikliklerinin, hem cârî hem de beklenen getiriler üzerinde anlamlı etkiler yarattığını bulgulayan Ionnidis ve Kontokinas (2008) bu sonucu para politikasının, hem iskonto oranı hem de beklenen nakit akışları üzerinde etkili olduğu biçiminde yorumlamıştır.…”

Section: Li̇teratür Taramasiunclassified

The effects of financial news on stock performance: case of BIST-30 companies

Eyüboğlu¹

2015

Pressacademia

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The impact of monetary policy decisions on stock prices has always been an important issue both for policy makers and financial investors. In this context this study investigates the impact of monetary policy decisions on the stock prices during the period of inflation targeting. We used Johansen cointegration test and VAR/VEC methods in order to analyze the relationships between various BIST stock indices, overnight interbank interest rate, and USD-Turkish Lira exchange rate. Results demonstrate that interest rate shocks impact stock prices negatively and this impact is permanent.

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The impact of monetary policy on stock prices

Cited by 128 publications

References 17 publications

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

The effects of financial news on stock performance: case of BIST-30 companies

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