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Monetary policy and the stock market structure: some international empirical evidence

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / This paper builds upon Blanchard's (1981) model of asset prices, and provides an empirical
evidence for good news cases (GNC) and/or bad news cases (BNC) as de ned in Blanchard's
paper. We update Blanchard's model by introducing Taylor's rule of monetary policy and
explicitly incorporate income distribution in a small, open economy. The ndings indicate
that, the labour share is a strong and signi cant variable that should be considered in asset
pricing models. The real exchange rate plays a signi cant role in the determination of asset
prices in most of the selected countries, but the signi cance is stronger in the emerging markets
economies. As the main objective of the paper, the study has found four of the selected countries
to be bad news cases and eight of them are good news cases. / MT2016
Date January 2016
CreatorsAlovokpinhou, Sedjro Aaron
Source SetsSouth African National ETD Portal
Detected LanguageEnglish
FormatOnline resource (xiii, 25 leaves), application/pdf

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