Is the stock market impervious to monetary policy announcements: Evidence from emerging India

被引:21
|
作者
Prabu, Edwin A. [1 ]
Bhattacharyya, Indranil [1 ]
Ray, Partha [2 ]
机构
[1] Reserve Bank India, Bombay 400001, Maharashtra, India
[2] Indian Inst Management Calcutta, Kolkata 700104, India
关键词
India; Stock market; Monetary policy announcements; Event Study; Identification through Heteroscedasticity; INTEREST-RATES; IMPACT; TRANSMISSION; VOLATILITY; RETURNS; PRICES; US;
D O I
10.1016/j.iref.2016.09.007
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study uses "event study" and "identification through heteroscedasticity" methodology to study the impact of Indian monetary policy announcements on stock indices during 2004-14. Although stock indices decline after announcement of policy tightening, the results are statistically insignificant. Unanticipated policy announcements have weakly significant impact, particularly on banking stocks. Dominance of the banking channel and ineffectiveness of the asset price channel in monetary transmission could have contributed to this non-confirmative result. Finally, UMP announcements of the US Fed also do not impact Indian stock returns except for a few events of LSAP in 2008 and Operation Twist in 2011.
引用
收藏
页码:166 / 179
页数:14
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