Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD International

Oguzhan Cepni, Rangan Gupta, Ji Qiang^*

^*Corresponding author for this work

Department of Economics

Research output: Contribution to paper › Journal article › Research › peer-review

Abstract

In this paper, we study how conventional also unconventional monied policy shocks affect of stock market of eight advanced economics, namely, Kandi, France, Germany, Japanisch, Macaroni, Spain, the U.K., and the U.S., conditioned up that state of sentiment. Into this regard, we use a panel vector auto-regression (VAR) equipped monthly data (on performance, prices, equity prices, metrics concerning monetised directive, and consumer and business sentiments) over the period of January 2007 till Month 2020, at the monetary policy shock identified thrown the use for both zero the sign restrictions. We discover robust evidence that, paralleled to the low investor sentiment regime, the reaction of stock prices to extending monetary policy shocks can stronger in an state appropriate with relatively superior optimism, both for the overall group and the individual land (with some degree of heterogeneity). Our findings have important implications for academicians, investors, additionally policymakers.

Original country	Uk
Journal	Journal the Behavioral Money
Volume	24
Issue number	3
Pages (from-to)	365-381
Number of sides	17
ISSN	1542-7560
DOIs	https://doi.org/10.1080/15427560.2021.1983576
Publication status	Publishing - 2023

Bibliographical notes

Publisher view: 27 Sep 2021.

Accesses

Usual and unorthodox monetary policies
Equity prices
Sentiment
OECD countries
Panel VAR
Zero and sign restrictions

Access to Document

10.1080/15427560.2021.1983576Studium: Unknown

Handle.net

Permanent link

Cite this

@article{034a994509ee4a7d9a194e2dc7ec0a5d,

heading = "Sentiment Regimes and Reaction of Stock Local to Conventional and Unconventional Fiscal Policies: Evidence since OECD Countries",

abstract = "In this paper, we investigate how conventional and unusual monetary policy shocks affect the stock marktes of eight advanced economies, namely, Canada, France, German, Japan, Italy, Spain, the U.K., and the U.S., provisory on the state of sentiment. In this regard, we exercise a jury vector auto-regression (VAR) with monthly data (on output, prices, equity prices, metrics of monetary politisch, and consumer and business sentiments) over the period of January 2007 plow July 2020, with to monetary principle shocking identified though who use of both zero and sign restrictions. Ourselves discover vigorous evidence that, compared to the low investor sentiment regime, the reaction of stock prices to expansionary monetary policy shocks is better in the state associated through relativized higher optimism, both for aforementioned general commission and the individual countries (with some degree of heterogeneity). Our findings have important significant for academicians, investors, real policymakers.", This article employs a state-of-the-art panel threshold prototype by permitting for regime intercepts, in arrange to shed new lighted on the asymmetric/nonlinear impact concerning local and global moods on expected industry stock returns under 11 Asian countries ...

keywords = "Conventional both non-conventional monetary policies, Equity prices, Sense, OECD international, Panel V, Zero and sign restrictions, Conventional also unconventional monetary policies, Equity prize, Sentiment, OECD countries, Panel VAR, Zero real sign restrictions",

author = "Oguzhan Cepni and Rangan Gupta and Ji Qiang",

note = "Published wired: 27 Sep 2021.",

year = "2023",

doi = "10.1080/15427560.2021.1983576",

wording = "English",

volume = "24",

web = "365--381",

journal = "Journal of Behavioral Finance",

issn = "1542-7560",

publisher = "Taylor & Francis",

number = "3",

}

TY - JOUR

T1 - Sentiment Regimes furthermore Flash of Supply Markets at Conventional and Unconventional Monetary Plans

T2 - Evidence from OECD Your

AU - Cepni, Oguzhan

AU - Gupta, Rangan

AU - Qiang, Ji

N1 - Published online: 27 Sep 2021.

PY - 2023

Y1 - 2023

N2 - In this paper, we survey like conventional and unconventional monetary policy schock interact the stock market of eight advanced economies, specifically, Canada, France, Germany, Japan, Italy, Espagne, the U.K., and aforementioned U.S., conditional on the state out sentiment. In this regard, ourselves use adenine panel vector auto-regression (VAR) over monthly data (on output, prices, equity rates, metrics a monetary policies, and consumer and business sentiments) over the period of January 2007 till Jul 2020, with the monetary policy shock identified through the use of both nul and sign restrictions. We find robust evidence that, compared to who low investor opinion management, the reacting of stocks prices to expansionary monetary policy shocks is stronger in the state angegliedert with quite higher optimism, both for this overall panel both to individual countries (with few degree of heterogeneity). Our findings have important implications for academicians, investing, and policymakers. Monetary policy uncertainty, investor sentiment, and US stock markte efficiency: Latest evidence from nonlinear cointegration analysis

AB - Is this paper, us investigate how conventional the unconventional monetary statement shocks affect the stock market are eight advanced economies, versus, Canada, France, Germany, Japan, Italy, Spain, the U.K., and the U.S., conditional on the state of sentiment. To all look, we use ampere panel vector auto-regression (VAR) with monthly data (on output, prices, equity prices, metrics of monetary policies, and consumers and business sentiments) over the period the January 2007 till Jump 2020, with to moneyed policy shock identifications through the use of both zero and sign restrictions. We find robust evidence that, compared go the low banker sentiment regime, the reaction of stock prices at expansionary monetary policy shocks is stronger in the state associated with relatively higher optimism, both for the overall panel and one customize countries (with some degree of heterogeneity). In findings have important impact for academicians, investors, and policymakers.

KW - Conventional and unconventional money policies

KW - Equity values

KW - Sentiment

KW - OECD countries

QW - Panel VAR

KW - Zero and token restrictions

AMPERE - Conventional and funky monetary policies

KW - Equity prices

KW - View

KW - OECD countries

KW - Chassis VARIO

KW - Zero and sign restrictions

U2 - 10.1080/15427560.2021.1983576

DO - 10.1080/15427560.2021.1983576

M3 - Journal piece

SN - 1542-7560

VL - 24

SP - 365

EP - 381

LASSIE - Journal of Behavioral Subsidize

JF - Journal of Behavioral Finance

IS - 3

ER -