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عنوان فارسی مقاله:
سیاست پولی، نوسانات نرخ ارز، و رفتار توده ای در بازار سهام
عنوان انگلیسی مقاله:
Monetary policy, exchange rate fluctuation, and herding behavior in the stock market
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
2. Literature review
This section provides a short review of the effects of monetary policy and exchange rate on stock returns and herding behavior in financial markets, supporting the hypothesis in this study that variations in interest and exchange rates may induce herding in the stock market. 2.1. Monetary policy, exchange rate, and stock returns Thorbecke (1997) investigates how stock returns respond to monetary policy shocks measured by innovations in the federal funds rate and non-borrowed reserves. The results indicate that expansionary monetary policy prompts stock prices in short time horizons and exerts considerable effects on small firms. Bernanke and Kuttner (2005) adopt “event study” to investigate the impact of change in monetary policy on equity prices; they find that an unanticipated 25-basis-point cut in the federal funds rate target leads to a 1% increase in stock indexes. Bjørnland and Leitemo (2009) propose a structural vector autoregression model that combines short-run and long-run restrictions to solve the simultaneity problem in identifying monetary policy and stock price shock; they determine that stock prices fall immediately by 7% to 9% due to an unanticipated 100-basis-point increase. In general, monetary policy plays an important role in stock price movements. An unanticipated interest rate increase leads to a decline in stock prices given its influence on discount rate channels, expected future dividends and equity premium. By contrast, the relationship between exchange rate and stock returns varies. Dornbusch and Fischer (1980) focus on the current account and assert that stock prices are beneficial to deprecation of local currency because of the increased international competitiveness of local firms and their profits. Hau and Rey (2006) develop a theoretical model in which investors face incomplete hedging of foreign exchange rate risk and are required to rebalance the foreign equity portfolio following a gain. Such an approach leads to the depreciation of relevant foreign currency, and a negative relationship between stock returns and currency return appears. Cho et al. (2016) argue that the correlation between currency and stock returns differs between emerging markets and developed markets due to capital flows in and out of these markets along with global stock market conditions. When the global stock market is down, capital tends to move out of emerging markets and into developed countries, thereby generating a positive correlation between currency and stock returns in emerging markets and a negative correlation in developed markets. The same correlations remain in global up markets. Lin (2012) examines the co-movement between exchange rate and stock returns across different industries in emerging Asian markets. The findings show that co-movement is not stronger within export-oriented industries, implying that the relationship between exchange rates and stock returns is mainly driven by capital account, which supports the view of capital flows. Emerging markets generally benefit from local currency appreciation due to capital flows into these markets, whereas local currency depreciation is regarded as “bad” news in these stock markets.
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کلمات کلیدی:
Herding in the stock market may inspire human-guided trading ... https://phys.org › Physics › General Physics Jun 6, 2014 - First, prices fluctuate much more rapidly than new substantial information is ... "Modelling the short term herding behavior of stock markets. Herding Behavior in Stock Markets pure.au.dk/portal-asb-student/files/.../Herding_Behavior_in_Stock_Markets.pdf by T Aabo - 2016 - Related articles This thesis studies the existence of herding behavior in USA, Japan, United Kingdom and. Germany ... In the occurrence of herding behavior, market efficiency is invalidated, and the sufficiency of the ...... fluctuations, the dispersion will drop. The. Herd behavior and aggregate fluctuations in financial markets https://arxiv.org › cond-mat by R Cont - 1997 - Cited by 840 - Related articles Our model provides a link between two well-known market phenomena: the ... of stock market returns on one hand and 'herding' behavior in financial markets on ... Modelling the short term herding behaviour of stock markets ... iopscience.iop.org/article/10.1088/1367-2630/16/5/053040/meta by Y Shapira - 2014 - Cited by 10 - Related articles Modelling the behaviour of stock markets has been of major interest in the past ... high fluctuating nature of the market, which is similar to real market behaviour. [PDF]When Will Investors Herd?--Evidence from the Chinese Stock Markets https://www.utdallas.edu/~yexiaoxu/Herd.PDF by G Chen - Cited by 5 - Related articles The institutional characteristics of the Chinese stock markets provide a unique ... informed about individual stocks than foreign investors, herding behavior is most likely ...... Moreover, return volatilities fluctuated widely prior to 1996 when China. A Neural Basis of Herd Behavior in Stock Market: An ... - SSRN papers papers.ssrn.com/sol3/Delivery.cfm?abstractid=1761903 stock market anomalies is the “herd behavior”, which describes how ... fluctuation, and how these brain activation would result in specific behaviors such. [PDF]Herding Behavior under Markets Condition ... - EconJournals.com econjournals.com/index.php/ijefi/article/viewFile/229/pdf by M Ouarda - 2012 - Cited by 17 - Related articles Keywords: Herding behavior; European financial markets; Financial crisis; Cross-sectional returns. ... psychology and the fluctuations in stock markets. Although ... Searches related to fluctuation, and herding behavior in the stock market herding in financial markets herding behavior finance herd behavior in financial markets google scholar
