The reaction of international stock markets to Federal Reserve policy

This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We fin...

Full description

Saved in:
Bibliographic Details
Main Authors: Wang, Jing, Zhu, Xiaoneng
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2013
Subjects:
Online Access:https://hdl.handle.net/10356/98698
http://hdl.handle.net/10220/17410
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-98698
record_format dspace
spelling sg-ntu-dr.10356-986982023-05-19T06:44:43Z The reaction of international stock markets to Federal Reserve policy Wang, Jing Zhu, Xiaoneng Nanyang Business School DRNTU::Business::Finance This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We find that unanticipated Federal Reserve policy actions exert a significant and robust influence on international stock prices. However, the influence of unanticipated monetary policy actions is not strong enough to change the correlation structure of international equity returns. We also find that international stock return co-movements play an important role in the transmission of monetary policy. Finally, the variance decomposition analysis indicates that the effects of monetary policy surprises on future excess returns or dividend returns account for the largest portion of the equity price response. 2013-11-07T08:29:06Z 2019-12-06T19:58:36Z 2013-11-07T08:29:06Z 2019-12-06T19:58:36Z 2013 2013 Journal Article Wang, J., & Zhu, X. (2013). The reaction of international stock markets to Federal Reserve policy. Financial markets and portfolio management, 27(1), 1-30. https://hdl.handle.net/10356/98698 http://hdl.handle.net/10220/17410 10.1007/s11408-012-0204-3 en Financial markets and portfolio management
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance
spellingShingle DRNTU::Business::Finance
Wang, Jing
Zhu, Xiaoneng
The reaction of international stock markets to Federal Reserve policy
description This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We find that unanticipated Federal Reserve policy actions exert a significant and robust influence on international stock prices. However, the influence of unanticipated monetary policy actions is not strong enough to change the correlation structure of international equity returns. We also find that international stock return co-movements play an important role in the transmission of monetary policy. Finally, the variance decomposition analysis indicates that the effects of monetary policy surprises on future excess returns or dividend returns account for the largest portion of the equity price response.
author2 Nanyang Business School
author_facet Nanyang Business School
Wang, Jing
Zhu, Xiaoneng
format Article
author Wang, Jing
Zhu, Xiaoneng
author_sort Wang, Jing
title The reaction of international stock markets to Federal Reserve policy
title_short The reaction of international stock markets to Federal Reserve policy
title_full The reaction of international stock markets to Federal Reserve policy
title_fullStr The reaction of international stock markets to Federal Reserve policy
title_full_unstemmed The reaction of international stock markets to Federal Reserve policy
title_sort reaction of international stock markets to federal reserve policy
publishDate 2013
url https://hdl.handle.net/10356/98698
http://hdl.handle.net/10220/17410
_version_ 1770566839258054656