EVIDENCE OF MONETARY SHOCKS, UNCERTAINTY, EQUITY MARKET VOLATILITY AND GEOPOLITICAL RISK ON STOCK PRICES

Thomas C. Chiang

《Advances in Quantitative Analysis of Finance and Accounting》 18期 (2021/12) Pp. 39-60

https://doi.org/10.6293/AQAFA.202112_(18).0002

摘要

This study presents evidence for a stock return's response to monetary shocks by examining monthly data for the U.S. market. This evidence supports the premise that stock returns are negatively correlated with unexpected changes in monetary growth or interest rates. Evidence from testing news-based uncertainty variables finds that stock returns adversely respond to heightened monetary policy uncertainty and equity market volatility when testing is controlled for fiscal policy uncertainty, dividend yield, and implied volatility. Significant effects extend to the next period. A significance test indicates that a geopolitical risk creates a harmful effect on the stock market performance.

關鍵字

Monetary Policy Uncertainty ； Monetary Surprise ； Fiscal Policy Uncertainty ； Geopolitical Risk ； Equity Market Volatility ； Implied Volatility

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