Portal de Periódicos da CAPES

RESPONSE OF STOCK PRICES TO MONEY SUPPLY ANNOUNCEMENTS: AUSTRALIAN EVIDENCE

1993; Wiley; Volume: 33; Issue: 2 Linguagem: Inglês

10.1111/j.1467-629x.1993.tb00198.x

1467-629X

Ranjit Singh,

Financial Markets and Investment Strategies

Abstract: This paper extends the literature on the money supply announcement effect by examining the response of stock prices to the monthly announcements of the money supply made in Australia. The unexpected component of the money supply change is identified using both a market based survey of expectations and rolling ARIMA time series models. The analysis is further extended to examine the impact of the money supply announcements during the period of monetary target‐ting; the cross‐sectional impact of the announcements across various stock price indices and the pre‐ and post‐announcement responses of stock prices. The results documented show no evidence of a significant stock price response to the money supply announcements in Australia.