TAILIEUCHUNG - Monetary Policy Shocks and Stock Returns: Evidence from the British Market

This article contributes to the literature by investigating whether or not oil price changes have significantly affected stock market returns in the last years. In fact, during these years price volatility for both crude oil and related products has been great. Unlike most previous papers, which focus on the ., European and major Asian stock markets, our paper analyses the impact of oil price fluctuations on Gulf Corporation Council (GCC) markets. These markets are interesting for several reasons. First, GCC countries have attracted increasing attention in recent years. In the wake of high oil prices since 2003, they have. | Monetary Policy Shocks and Stock Returns Evidence from the British Market A. Gregoriou a A. Kontonikas b R. MacDonald b A. Montagnoli c Norwich Business School University of East Anglia b Department of Economics University of Glasgow Department of Economics University of Stirling May 2009 Abstract This paper examines the impact of anticipated and unanticipated interest rate changes on aggregate and sectoral stock returns in the UK. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Results from time-series and panel analysis indicate an important structural break in the relationship between stock returns and monetary policy shifts. Particularly while before the credit crunch the stock market response to both expected and unexpected interest rate changes is negative and significant the relationship becomes positive during the credit crisis. The latter finding highlights the inability so far of monetary policy-makers to reverse via interest rate cuts the negative trend observed in stock prices since the onset of the credit crisis. JEL classification C33 E44 E52 G13. Keywords Asset Prices Monetary Policy Panel Data. Z- -I- 1 TT . -1 I-. . . n T- T T . n 1 - 1 1- -1 -I- Corresponding author A. Kontonikas Department of Economics University of Glasgow Adam Smith Building Glasgow G12 8RT UK. Email 1 1. Introduction While monetary policy objectives are expressed in terms of macroeconomic variables such as inflation and real output policy actions affect these variables indirectly and with a lag. On the other hand financial markets tend to react quickly to the release of new information. Thus the use of financial data should help to identify a more direct and immediate effect of changes in monetary policy and improve our understanding of the transmission mechanism since asset prices play a key role in several channels. Among asset prices stock prices are typically closely monitored and are .

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