The euro area stock market channel: Does one size fit all?

David Sondermann, Martin T. Bohl and Pierre Siklos

Finance Research Letters, 2009, vol. 6, issue 4, 230-235

Abstract: This paper analyzes the first part of the stock market channel of monetary policy in the euro area. We find heterogeneous reactions of euro area stock markets to unexpected ECB's interest rate decisions. Splitting all markets into two groups, covering the stock markets reacting significantly to monetary policy shocks and the ones which do not, each sub-group reveals a higher degree of homogeneity. Interestingly, the markets, which react significantly to unexpected interest rate decisions are the markets with the highest stock market capitalization. In general, we find ECB's decisions to be well anticipated by stock markets.

Keywords: Monetary; policy; shocks; European; stock; markets; Identification; through; heteroskedasticity; Transmission; channels; of; monetary; policy; Asset; pricing; Event; studies (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544-6123(09)00030-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:6:y:2009:i:4:p:230-235

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().