Stock market reactions to monetary policy shocks

von Zeng, Jun Peng
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Zeng, Jun Peng Stock market reactions to monetary policy shocks
Zeng, Jun Peng - Stock market reactions to monetary policy shocks

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Beschreibung

It is important for both the monetary policy makers and investors to understand the impact of monetary policy shocks to real asset prices. This paper used the event-study method to test the intraday effects of monetary policy shocks on Australian stock market return in different dimension. The results show that a 25-basis-point rate cut target surprise is associated with 0.62% to 0.7% increase to the whole Australian stock market index. The results of industry indexes show that the industry indexes react differently to monetary policy shocks and path surprise is never significant in all event windows. This paper also tested the speed of stock market reacting to monetary policy shocks. The results suggest that all stock market indexes stop reacting to monetary policy shock after 90 to 120 minutes the monetary policy decision is announced. Lastly, the study of individual stocks shows that the size and market to book ratio factors do not affect magnitude of individual stock reaction to monetary policy shock.

Mitwirkende

Autor:
Zeng, Jun Peng

Weitere Informationen

Biografie:
Currently a financial Analyst of Jones Lang Lasalle's Sallmanns. Master of Finance from Auckland University of Technology.
Sprache:
Russisch
Auflage:
1/2011
Seitenanzahl:
76
Medientyp:
Taschenbuch
Verlag:
Dictus Publishing

Stammdaten

Produkttyp:
Taschenbuch
Verpackungsabmessungen:
0.22 x 0.15 x 0.005 m; 0.159 kg
GTIN:
09783844390247
DUIN:
KO23KAQ9T75
CHF 49.25
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