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| Author: | Durham, J.B. |
| Title: | Monetary policy and stock price returns |
| Journal: | Financial Analysts' Journal
2003 : VOL. 53:1, p. 26-35 |
| Index terms: | Economic performance Monetary policy Stock markets Stock returns |
| Language: | eng |
| Abstract: | It has been argued in some studies that monetary policy affects stock market performance over monthly or quarterly horizons, which has important implications for both investors and central bankers. Previous findings are not robust to the sensitivity analysis reported here. Division of the sample period into subperiods and use of rolling regressions for the time-series data indicate that for the vast majority of countries, the relationship largely vanished in more recent periods. |
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