Economics at your fingertips  

On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching

Ichrak Dridi and Adel Boughrara

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 179-194

Abstract: Applied research on central banking has attempted to assess the effects of adopting full-fledged inflation targeting on several macroeconomic variables, while the impact of financial variables has been under-researched so far. This paper fills this gap by assessing and quantifying the effect of full-fledged inflation targeting on stock returns and their conditional volatility. For this purpose, it implements the Propensity Score Matching (PSM), which is immune against reverse-causality, self-selection and omitted-variable biases, on a sample of advanced countries over 1990:Q1–2015:Q1 period. The results suggest that full-fledged inflation targeting is effective in boosting stock market returns and reducing volatility.

Keywords: Full-fledged inflation targeting; Propensity score matching; Stock market returns; Conditional volatility (search for similar items in EconPapers)
JEL-codes: C14 C40 E52 G20 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.qref.2021.02.007

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-07-10
Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:179-194