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Title: Is the stock market impervious to monetary policy announcements: Evidence from emerging India
Authors: Prabu A, Edwin
Bhattacharyya, Indranil
Ray, Partha
Keywords: Event Study
Identification through Heteroscedasticity
Monetary policy announcements
Stock market
Issue Date: 2016
Publisher: SCOPUS
International Review of Economics and Finance
Elsevier Inc.
Series/Report no.: 46
Abstract: 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. � 2016 Elsevier Inc.
Description: Prabu A, Edwin, Reserve Bank of India, Mumbai, 400001, India; Bhattacharyya, Indranil, Reserve Bank of India, Mumbai, 400001, India; Ray, Partha, Indian Institute of Management Calcutta, Kolkata, 700104, India
ISSN/ISBN - 10590560
DOI - 10.1016/j.iref.2016.09.007
Appears in Collections:Economics

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