Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets
This paper examines the asymmetric response of stock market volatility to monetary policy over bull and bear market periods in ASEAN5 countries (Malaysia, Indonesia, Singapore, the Philippines and Thailand) using the well-tested pooled mean group (PMG) technique. Bull and bear markets are identified...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28402/ http://psasir.upm.edu.my/id/eprint/28402/1/Monetary%20policy%20and%20stock%20market%20volatility%20in%20ASEAN5.pdf |
| _version_ | 1848846107104247808 |
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| author | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah |
| author_facet | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah |
| author_sort | Zare, Roohollah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper examines the asymmetric response of stock market volatility to monetary policy over bull and bear market periods in ASEAN5 countries (Malaysia, Indonesia, Singapore, the Philippines and Thailand) using the well-tested pooled mean group (PMG) technique. Bull and bear markets are identified by employing Markov-switching models and the rule- based non-parametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that a contractionary monetary policy (interest rate increases) has a stronger long-run effect on stock market volatility in bear markets than bulls consistent with the prediction of finance constraints models. |
| first_indexed | 2025-11-15T08:57:27Z |
| format | Article |
| id | upm-28402 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:57:27Z |
| publishDate | 2013 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-284022015-11-17T01:59:41Z http://psasir.upm.edu.my/id/eprint/28402/ Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah This paper examines the asymmetric response of stock market volatility to monetary policy over bull and bear market periods in ASEAN5 countries (Malaysia, Indonesia, Singapore, the Philippines and Thailand) using the well-tested pooled mean group (PMG) technique. Bull and bear markets are identified by employing Markov-switching models and the rule- based non-parametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that a contractionary monetary policy (interest rate increases) has a stronger long-run effect on stock market volatility in bear markets than bulls consistent with the prediction of finance constraints models. Elsevier 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28402/1/Monetary%20policy%20and%20stock%20market%20volatility%20in%20ASEAN5.pdf Zare, Roohollah and Mohamed, Azali and Habibullah, Muzafar Shah (2013) Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets. Procedia Economics and Finance, 7. pp. 18-27. ISSN 2212-5671 10.1016/S2212-5671(13)00213-X |
| spellingShingle | Zare, Roohollah Mohamed, Azali Habibullah, Muzafar Shah Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title | Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title_full | Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title_fullStr | Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title_full_unstemmed | Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title_short | Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets |
| title_sort | monetary policy and stock market volatility in asean5: asymmetries over bull and bear markets |
| url | http://psasir.upm.edu.my/id/eprint/28402/ http://psasir.upm.edu.my/id/eprint/28402/ http://psasir.upm.edu.my/id/eprint/28402/1/Monetary%20policy%20and%20stock%20market%20volatility%20in%20ASEAN5.pdf |