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.
General
Imprint: |
Lap Lambert Academic Publishing
|
Country of origin: |
Germany |
Release date: |
May 2011 |
First published: |
May 2011 |
Authors: |
Jun Peng Zeng
|
Dimensions: |
229 x 152 x 5mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
76 |
ISBN-13: |
978-3-8443-9024-7 |
Languages: |
French
|
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-8443-9024-3 |
Barcode: |
9783844390247 |
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