On monetary policy and stock market anomalies

Alexandros Kontonikas (ak16270@essex.ac.uk) and Alexandros Kostakis

Working Papers from Business School - Economics, University of Glasgow

Abstract: This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner 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)
JEL-codes: E44 E58 G12 (search for similar items in EconPapers)
Date: 2010-11
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On Monetary Policy and Stock Market Anomalies (2013)
Working Paper: On monetary policy and stock market anomalies (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2010_29

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