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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