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RESPONSE OF STOCK PRICES TO MONEY SUPPLY ANNOUNCEMENTS: AUSTRALIAN EVIDENCE

RESPONSE OF STOCK PRICES TO MONEY SUPPLY ANNOUNCEMENTS: AUSTRALIAN EVIDENCE Abstract: This paper extends the literature on the money supply announcement effect by examining the response of stock prices to the monthly announcements of the money supply made in Australia. The unexpected component of the money supply change is identified using both a market based survey of expectations and rolling ARIMA time series models. The analysis is further extended to examine the impact of the money supply announcements during the period of monetary target‐ting; the cross‐sectional impact of the announcements across various stock price indices and the pre‐ and post‐announcement responses of stock prices. The results documented show no evidence of a significant stock price response to the money supply announcements in Australia. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

RESPONSE OF STOCK PRICES TO MONEY SUPPLY ANNOUNCEMENTS: AUSTRALIAN EVIDENCE

Accounting & Finance , Volume 33 (2) – Nov 1, 1993

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References (33)

Publisher
Wiley
Copyright
© 1993 Accounting and Finance Association of Australia and New Zealand
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/j.1467-629X.1993.tb00198.x
Publisher site
See Article on Publisher Site

Abstract

Abstract: This paper extends the literature on the money supply announcement effect by examining the response of stock prices to the monthly announcements of the money supply made in Australia. The unexpected component of the money supply change is identified using both a market based survey of expectations and rolling ARIMA time series models. The analysis is further extended to examine the impact of the money supply announcements during the period of monetary target‐ting; the cross‐sectional impact of the announcements across various stock price indices and the pre‐ and post‐announcement responses of stock prices. The results documented show no evidence of a significant stock price response to the money supply announcements in Australia.

Journal

Accounting & FinanceWiley

Published: Nov 1, 1993

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