THANASET CHEVAPATRAKUL THANASET.CHEVAPATRAKUL@NOTTINGHAM.AC.UK
Associate Professor
Monetary environments and stock returns revisited: A quantile regression approach
Chevapatrakul, Thanaset
Authors
Abstract
We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles, however, we find that expansive monetary conditions lead to significantly larger stock returns. The relationship between returns and monetary conditions at the upper quantiles is also found to be asymmetric, exhibiting a monotonic increase in responsiveness at successive quantiles.
Citation
Chevapatrakul, T. (2014). Monetary environments and stock returns revisited: A quantile regression approach. Economics Letters, 123(2), 122-126. doi:10.1016/j.econlet.2014.01.033
Journal Article Type | Article |
---|---|
Acceptance Date | Jan 28, 2014 |
Online Publication Date | Feb 10, 2014 |
Publication Date | May 1, 2014 |
Deposit Date | Aug 23, 2016 |
Publicly Available Date | Mar 29, 2024 |
Print ISSN | 0165-1765 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 123 |
Issue | 2 |
Pages | 122-126 |
DOI | https://doi.org/10.1016/j.econlet.2014.01.033 |
Keywords | Quantile regressionMonetary policyStock markets |
Public URL | https://nottingham-repository.worktribe.com/output/1095190 |
Publisher URL | https://www.sciencedirect.com/science/article/pii/S0165176514000470 |
You might also like
Default risk, macroeconomic conditions, and the market skewness risk premium
(2022)
Journal Article
How is price explosivity triggered in the cryptocurrency markets?
(2021)
Journal Article
Do stress tests affect bank liquidity creation?
(2020)
Journal Article
Business-Linkage Volatility Spillovers Between US Industries
(2019)
Journal Article
Return asymmetry and the cross section of stock returns
(2019)
Journal Article
Downloadable Citations
About Repository@Nottingham
Administrator e-mail: digital-library-support@nottingham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search