Central bank's money market operations and daily stock returns
Central bank's money market operations and daily stock returns
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DOI：
10.1002/ijfe.1781
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发表时间：
2019-11
影响因子：
2.9
通讯作者：
Radeef Chundakkadan;Subash Sasidharan
中科院分区：
文献类型：
--
作者：
Radeef Chundakkadan;Subash Sasidharan
本文的目的是使用每日数据来检验央行以定期回购和定期逆回购形式进行的日常货币市场操作与股票收益之间的关系。与之前的研究不同，我们使用了两种新的货币指标，即回购利差和逆回购利差。控制公司特定因素和时间虚拟变量并解决内生性问题，我们表明央行的货币市场操作对每日收益有显着影响。此外，我们还观察到，纳入这些货币变量可以改善股票回报的预测。
The objective of this paper is to examine the relationship between the central bank's daily money market operations in the form of Term Repo and Term Reverse Repo operations on stock returns using daily data. Unlike earlier studies, we use two new monetary measures, namely,Repo SpreadandReverse Repo Spread. Controlling for firm‐specific factors and time dummies and addressing endogeneity issue, we show that the central bank's money market operations have a significant effect on daily returns. Further, we also observe that the inclusion of these monetary variables improves the prediction of the stock returns.