News Vs Sentiments : Impact of Monetary Policy Announcement on Developed and Developing Countries’ Market Performance
This paper investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five (5) years (2014 – 2018). An impact of these selected independent variables on the stock market index is estimated using the regression model and Panel Least Square model. Monetary policy data has been run in three different lags i.e. lag (0), lag (-1, -2, -3, -4), and lag (1, 2, 3, 4) in order to check the availability of monetary policy impact in pre and post announcement dates also, while the other variables run on a single lag. It is observed that the stock market of developed countries has a significant relation with monetary policy announcements, however, these announcements showed an insignificance relation with the stock market index in the case of developing countries. Moreover, exchange rates seem to have a significant effect on markets of both developing and developed countries, whereas bond yield seems to have a significant effect on the stock market of Developing countries only
Year of publication: |
2020
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Authors: | Ansari, Jazib Ahmed |
Other Persons: | Siddiqui, Danish Ahmed (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Geldpolitik | Monetary policy | Entwicklungsländer | Developing countries | Ankündigungseffekt | Announcement effect | Schätzung | Estimation | Industrieländer | Industrialized countries |
Saved in:
freely available
Extent: | 1 Online-Ressource (32 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 26, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3681241 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012824703