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dc.contributor.authorPrabu A, Edwin
dc.contributor.authorBhattacharyya, Indranil
dc.contributor.authorRay, Partha
dc.descriptionPrabu 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
dc.descriptionISSN/ISBN - 10590560
dc.descriptionDOI - 10.1016/j.iref.2016.09.007
dc.description.abstractThis 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.
dc.publisherInternational Review of Economics and Finance
dc.publisherElsevier Inc.
dc.subjectEvent Study
dc.subjectIdentification through Heteroscedasticity
dc.subjectMonetary policy announcements
dc.subjectStock market
dc.titleIs the stock market impervious to monetary policy announcements: Evidence from emerging India
Appears in Collections:Economics

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