Monetary environments and stock returns: International evidence based on the quantile regression technique

Thanaset Chevapatrakul ()

International Review of Financial Analysis, 2015, vol. 38, issue C, 83-108

Abstract: This paper investigates the impact of the local and the US monetary policy environments on stock returns at the different locations on the return distributions. Using data for stock returns and interest rates of 30 countries, the quantile regression technique is employed to estimate the sensitivity of the returns to monetary policy at the different points on the return distributions. The results suggest that higher returns are associated with expansionary monetary policy. Furthermore, some of the stock markets in the sample are found to react to the local, but not the US monetary environments at the lower quantiles while the response at the higher quantiles appears to be sensitive to the US, but not the local monetary conditions. These findings are further supported by the slope equality tests, discussed in Koenker & Bassett (1982), and the analysis of weighted absolute residuals (ANOWAR), proposed by Chen, Ying, Zhang, & Zhao (2008).

Keywords: Quantile regression; Monetary policy; Stock markets (search for similar items in EconPapers)
JEL-codes: C01 C21 C51 E52 G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:38:y:2015:i:c:p:83-108

DOI: 10.1016/j.irfa.2015.01.013

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