On monetary policy and stock market anomalies

Kontonikas, A. and Kostakis, A. (2013) On monetary policy and stock market anomalies. Journal of Business Finance and Accounting, 40(7-8), pp. 1009-1042. (doi: 10.1111/jbfa.12028)

Full text not currently available from Enlighten.

Abstract

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a different manner by unexpected US monetary policy actions during the period 1967–2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks compared with growth, big capitalization and past winner stocks. Sub-sample analysis, motivated by variation in the realized premia and parameter instability, reveals that the impact of monetary policy shocks on these portfolios is significant and pronounced only during the pre-1983 period.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Kostakis, Mr Alexandros and Kontonikas, Professor Alexandros
Authors: Kontonikas, A., and Kostakis, A.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Business Finance and Accounting
Publisher:Blackwell Publishing
ISSN:0306-686X
ISSN (Online):1468-5957
Published Online:18 June 2013

University Staff: Request a correction | Enlighten Editors: Update this record