The Impact of Monetary Policy on Stock Returns During Bull and Bear Markets: The Evidence From Turkey

Purpose of this study is to analyze the asymmetric response of stock market returns and volatility to monetary policy in bull and bear markets in Turkey over the period of 2002:12016:12. We used Markov switching model in order to identify bull and bear markets. We used policy rate as monetary policy...

Full description

Saved in:
Bibliographic Details
Published inEge akademik bakıs Vol. 18; no. 4; pp. 699 - 710
Main Authors Atiş, Aydanur Gacener, Erer, Deniz
Format Journal Article
LanguageEnglish
Published Izmir Ege University Faculty of Economics and Administrative Sciences 01.10.2018
Subjects
Bear markets
Bull markets
Federal funding
Federal funds rate
Impact analysis
Influence
Interest rates
Markov analysis
Monetary policy
Rates of return
Securities markets
Stock exchanges
Volatility
Turkey
Online AccessGet full text

Cover

More Information
Summary:Purpose of this study is to analyze the asymmetric response of stock market returns and volatility to monetary policy in bull and bear markets in Turkey over the period of 2002:12016:12. We used Markov switching model in order to identify bull and bear markets. We used policy rate as monetary policy instrument. From the empirical results, we deduced that monetary policy is more effective in bull market periods.
ISSN:1303-099X
DOI:10.21121/eab.2018443010