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On Monetary Policy and Stock Market Anomalies
Author(s) -
Kontonikas Alexandros,
Kostakis Alexandros
Publication year - 2013
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/jbfa.12028
Subject(s) - monetary policy , capitalization , economics , monetary economics , market capitalization , stock (firearms) , sample (material) , econometrics , stock market , financial economics , geography , linguistics , philosophy , chemistry , chromatography , context (archaeology) , archaeology
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.