dc.contributor.author |
Cepni, Oguzhan
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Ji, Qiang
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|
dc.date.accessioned |
2022-08-16T09:35:25Z |
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dc.date.available |
2022-08-16T09:35:25Z |
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dc.date.issued |
2023 |
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dc.description.abstract |
In this paper, we investigate how conventional and unconventional monetary policy shocks affect the stock market of eight advanced economies, namely, Canada, France, Germany, Japan, Italy, Spain, the U.K., and the U.S., conditional on the state of sentiment. In this regard, we use a panel vector auto-regression (VAR) with monthly data (on output, prices, equity prices, metrics of monetary policies, and consumer and business sentiments) over the period of January 2007 till July 2020, with the monetary policy shock identified through the use of both zero and sign restrictions. We find robust evidence that, compared to the low investor sentiment regime, the reaction of stock prices to expansionary monetary policy shocks is stronger in the state associated with relatively higher optimism, both for the overall panel and the individual countries (with some degree of heterogeneity). Our findings have important implications for academicians, investors, and policymakers. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.librarian |
hj2022 |
en_US |
dc.description.uri |
https://www.tandfonline.com/loi/hbhf20 |
en_US |
dc.identifier.citation |
Oguzhan Cepni, Rangan Gupta & Qiang Ji (2023): Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries, Journal of Behavioral Finance, vol. 24, no. 3, pp. 365-381, DOI: 10.1080/15427560.2021.1983576. |
en_US |
dc.identifier.issn |
1542-7560 (print) |
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dc.identifier.issn |
1542-7579 (online) |
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dc.identifier.other |
10.1080/15427560.2021.1983576 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/86797 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Routledge |
en_US |
dc.rights |
© 2021 The Institute of Behavioral Finance. This is an electronic version of an article published in Journal of Behavioral Finances, vol. 24, no. 3, pp. 365-381, 2023, doi : 10.1080/15427560.2021.1983576. Journal of Behavioral Finance is available online at : https://www.tandfonline.com/loi/hbhf20. |
en_US |
dc.subject |
Conventional monetary policies |
en_US |
dc.subject |
Unconventional monetary policies |
en_US |
dc.subject |
Equity prices |
en_US |
dc.subject |
Sentiment |
en_US |
dc.subject |
OECD countries |
en_US |
dc.subject |
Panel VAR |
en_US |
dc.subject |
Zero and sign restrictions |
en_US |
dc.title |
Sentiment regimes and reaction of stock markets to conventional and unconventional monetary policies : evidence from OECD countries |
en_US |
dc.type |
Preprint Article |
en_US |