Stock market reaction to fed funds rate surprises: State dependence and the financial crisis

Kontonikas, Alexandros; MacDonald, Ronald; Saggu, Aman

doi:10.1016/j.jbankfin.2013.06.010

Cited by 96 publications

(75 citation statements)

References 51 publications

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“…2 Aaker and Keller (1990) and Balachander and Ghose (2003) find that a firm's advertising for one of its products not only can increase sales of the advertised product, but also increase sales of other existing products in the same brand. 3 Kontonikas et al (2013) find pronounced effects from "cut interest rates" for S&P 500 index returns in two ways. First, cuts in the federal funds rate (FFR) imply that interest rate easing is a good signal to stock market participants outside the financial crisis period.…”

Section: Introductionmentioning

confidence: 99%

“…Bernanke and Kuttner (2005) show that changes in monetary policy result in changes in the cost of capital and thus have impacts on capital markets such as stock markets. Furthermore, during periods of economic recession stock prices likely increase when a central bank cuts interest rates to ease monetary policy (e.g., Kontonikas et al, 2013). Sirri and Tufano (1998) and Huang et al (2007) discover that advertising can reduce investors' search costs, meaning that advertising is positively related to inflows.…”

Section: Introductionmentioning

confidence: 99%

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The Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

Tsai

Chen

2016

Asia-Pac J of Fin Stud

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This paper investigates the effect of monetary policies, mainly proxied by interest rate changes, on the relationship between advertising and subsequent net cash flows for Taiwan's mutual fund industry. Based on a comprehensive mutual fund dataset and allowing for a precise estimation of fund inflows and outflows, we find that there is a positive advertisingcash flow relation under different macroeconomic conditions. Taking into account a change in the interest rate, we document that the positive relationship between the two only exists when the interest rate is at a relatively low level regardless of restrictive and expansionary periods. Our empirical findings shed new light on marketing strategies whereby mutual fund advertising works well during relatively low interest rate environments, which are generally interpreted as exhibiting low cost of capital and a good signal of future economic conditions.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

Tsai

Chen

2016

Asia-Pac J of Fin Stud

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“…In the existing evidence on the subject of GFC's impact, a shift in the association between monetary policy and stock markets in the light of the GFC was investigated by Kontonikas et al (2013). It showed that the financial crisis of 2007-8 lead to a change in the association between the stock market and monetary policy in the US as the impact of monetary policy expansion became positive to neutral after financial crisis.…”

Section: Introductionmentioning

confidence: 99%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

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“…We study information spillovers in quantiles of the daily continuous returns of the spot prices of the gold and US industry stock market indices (both denominated in US dollars), over the sample The dating of the crisis largely corresponds to the dating employed by Baur (2012), Kontonikas et al (2013) and Florackis et al (2014).…”

Section: Datamentioning

confidence: 99%

Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

Baumöhl

Lyócsa

2017

Finance Research Letters

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We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre-and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015)(2016), there are only three sectors -Healthcare, IT, and Telecommunication services -for which gold can be considered a safe haven.

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Stock market reaction to fed funds rate surprises: State dependence and the financial crisis

Cited by 96 publications

References 51 publications

The Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

The Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

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