Effects Monetary Policy on Stock Market Return Disaggregated at Firm Level

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Ahmadizadeh, Mohammad | 2013

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 44544 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mahdi
Abstract:
Since stock markets play an important role in economy, reflect expectation about macroeconomic situation and affect monetary policy effects on macroeconomic variables, are special interest of monetary policymakers. Hence, this dissertation studies relationship between monetary policy and market of equities. We study the effects of monetary policy of federal reserve on New York Stock Market Exchange return at firms level during 1999-2007 in an event study. Results confirm the conventional relationship, which is monetary policy affects firms’ return negatively. However these effects are not same for all firms. We find that market capital as proxy for size of firm and the industry which firm affiliated to, explain the differences among responses to monetary policy shock. Given a restrictive monetary policy, small firms find difficult to access to external premium fund according to credit channel of monetary policy transmission mechanism. Also, different industries respond at different time to the policy shock. In last section, we find evidences that response to monetary policy changes over time, which seems to be specific to every industry
Keywords:
Stock Return ; Event Study ; Monetary Policy Shock ; Firm Size ; Intraday Data ; Federal Reserve

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