EconPapers    
Economics at your fingertips  
 

On monetary policy and stock market anomalies

Alexandros Kontonikas () and Alexandros Kostakis

No 2010-103, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: This study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.

Keywords: Monetary policy; Federal funds rate; Market anomalies; Credit channel; Risk premia (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10943/233
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: On Monetary Policy and Stock Market Anomalies (2013) Downloads
Working Paper: On monetary policy and stock market anomalies (2010) Downloads
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:edn:sirdps:233

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().

 
Page updated 2021-02-26
Handle: RePEc:edn:sirdps:233