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Asymmetric Effects of Interest Rate Changes on Stock Prices
16 references·16 citing·42 second hopsampled
Asymmetric Effects of Interest Rate Changes on Stock Prices (2000)Asymmetric Effects of Interest Rate Chang…Tests of the Market's Reaction to Federal Funds Rate Target Changes (1998)Tests of the Market's Reactio…Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets (1998)Asymmetries in the Conditiona…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Short-Run Dynamics of the…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Simple Measure of Price Adjustment Coefficients (1993)A Simple Measure of Price Adj…ARCH modeling in finance (1992)ARCH modeling in financeDownside risk (1991)Downside riskConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Asset Returns, Discount Rate Changes, and Market Efficiency (1985)Asset Returns, Discount Rate …The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The intraday speed of adjustm…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Voluntary disclosure and information asymmetry: do investors in US capital markets care about carbon emission? 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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1991Downside risk604 cited
  • 1984The intraday speed of adjustment of stock prices to earnings and dividend announcements436 cited
  • 1995The Short-Run Dynamics of the Price Adjustment to New Information297 cited
  • 1985Asset Returns, Discount Rate Changes, and Market Efficiency162 cited
  • 1998Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets135 cited
  • 1993A Simple Measure of Price Adjustment Coefficients

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108 cited
  • 1998Tests of the Market's Reaction to Federal Funds Rate Target Changes73 cited
  • Cited by

    • 2020Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets113 cited
    • 2004Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty88 cited
    • 2019Asymmetric monetary policy effects on cryptocurrency markets76 cited
    • 2002Interest Rate Surprises and Stock Prices62 cited
    • 2016When no news is good news – The decrease in investor fear after the FOMC announcement56 cited
    • 2006Dynamic Interactions among the Stock Market, Federal Funds Rate, Inflation, and Economic Activity55 cited
    • 2021Voluntary disclosure and information asymmetry: do investors in US capital markets care about carbon emission?50 cited
    • 2003First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns49 cited
    • 2018Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey46 cited
    • 2017Stock prices, exchange rate and interest rate: evidence beyond symmetry45 cited
    • 2009Dynamic linkages between monetary policy and the stock market41 cited
    • 2017Are Risk Management Disclosures Informative or Tautological? Evidence from the U.S. Banking Sector36 cited
    • 2013A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries35 cited
    • 2012IMPACT OF INTEREST RATE, EXCHANGE RATE AND INFLATION ON STOCK RETURNS OF KSE 100 INDEX33 cited
    • 2007The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations29 cited
    • 2012The impact of monetary policy decisions on stock returns: Evidence from Thailand28 cited