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|Title:||Is the stock market impervious to monetary policy announcements: Evidence from emerging India|
|Authors:||Prabu A, Edwin|
Identification through Heteroscedasticity
Monetary policy announcements
International Review of Economics and Finance
|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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