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Journals / Ege Akademik Bakış / 2018 / Cilt: 18 - Sayı: 4

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

Para Politikasının Boğa ve Ayı Piyasalarında Hisse Senedi Getirilerine Etkisi: Türkiye Örneği

Aydanur GACENER ATIŞ
Deniz ERER
Pages
699–710
Publication Date
2022-10-12
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Weused policy rate as monetary policy instrument.From the empirical results, we deduced thatmonetary policy is more effective in bull marketperiods.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Purpose of this study is to analyze theasymmetric response of stock market returnsand volatility to monetary policy in bull and bearmarkets in Turkey over the period of 2002:1-2016:12.
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Key Findings & Data:We used Markov switching model inorder to identify bull and bear markets.
💡
Conclusion & Impact:Weused policy rate as monetary policy instrument.From the empirical results, we deduced thatmonetary policy is more effective in bull marketperiods.
🔬Design:Modeling & Simulation
📍Scope:2002 Verileri
⚙️Variables:Domain Parameters

Abstract

Purpose of this study is to analyze theasymmetric response of stock market returnsand volatility to monetary policy in bull and bearmarkets in Turkey over the period of 2002:1-2016:12. We used Markov switching model inorder to identify bull and bear markets. Weused policy rate as monetary policy instrument.From the empirical results, we deduced thatmonetary policy is more effective in bull marketperiods.

Özet

Bu çalışmanın amacı, 2002:1-2016:12 döneminde Türkiye’de ayı ve boğa piyasaları açısından hisse senedi getirilerinin ve oynaklığının para politikasına asimetrik tepkisini analiz etmektir. Ayı ve boğa piyasalarını tanımlamak amacıyla Markov rejim değişim modeli kullanılmıştır. Para politikası aracı olarak ise politika faiz oranı kullanılmıştır. Çalışmanın sonucunda, para politikasının boğa piyasasında daha etkin olduğu sonucuna ulaşılmıştır.

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Cite This Article

ATIŞ, A. G., ERER, D. (2022). The Impact of Monetary Policy on Stock Returns During Bull and Bear Markets: The Evidence From Turkey. Ege Akademik Bakış, Cilt: 18 - Sayı: 4, 699–710. https://ajindex.com/articles/495185

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