Changes in Stock Price Volatility and Monetary Policy Regimes: Evidence from Asian Countries

Impact of Money, Interest Rate and Inflation on Dhaka Stock Exchange (DSE) of Bangladesh

“…He found that monetary policy had asymmetric effects on stock returns. Ivrendi and Guloglu (2012) conducted study in six Asian countries and found the same result. But Laopodis (2006) in his study revealed that there was no consistent relationship between monetary policy and stock prices.…”

Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect

“…According to the literature, research on the effects of policy factors on the Chinese stock market focuses primarily on some policies such as price limits, short selling, or monetary policies [26][27][28]. Although there are a few studies on a series of typical policy events, most have not further explored the long-term structural changes brought by stock market policies.…”

Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

“…To examine the dynamic association between the stability of monetary policy and the volatility of stock prices in four Asian countries (Malaysia, Singapore, South Korea, and Thailand), Ivrendi and Guloglu (2012) employed a Markovregime switching autoregressive conditional heteroscedasticity technique. They identified the existence of an asymmetric relationship between monetary policy and stock prices with all of the aforementioned countries except for Thailand (Ivrendi et al, 2012).…”

“…To examine the dynamic association between the stability of monetary policy and the volatility of stock prices in four Asian countries (Malaysia, Singapore, South Korea, and Thailand), Ivrendi and Guloglu (2012) employed a Markovregime switching autoregressive conditional heteroscedasticity technique. They identified the existence of an asymmetric relationship between monetary policy and stock prices with all of the aforementioned countries except for Thailand (Ivrendi et al, 2012). Hussain (2010) estimated the return and volatility of European countries including France, Germany, Switzerland, and the United Kingdom and the U.S. equity indices as a result of monetary policy decisions and macroeconomic news announcements, which included intraday data during the period lasting from 2000 to 2008.…”

“…According to Chatziantoniou et al (2013), the effect of monetary policy on the stock market returns flows through five potential channels, which are interest rates, credit, the wealth effect, the exchange rate, and the monetary effect. Other researchers claimed that an expansionary monetary policy increases the asset prices, which reduces their expected returns and thus, decreases stock market activities (Laopodis, 2013;Ivrendi & Guloglu, 2012). This happens as a result of an increase in stock prices that are considered as a possible omen of expected inflation which would cause the ensuing counteraction of the Federal Reserve.…”