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QUANTITATIVE EASING AND THE UK STOCK MARKET: DOES THE BANK OF ENGLAND INFORMATION DISSEMINATION STRATEGY MATTER?

Research output: Contribution to journalArticle

Georgios Chortareas, Menelaos Karanasos, Emmanouil Noikokyris

Original languageEnglish
Pages (from-to)569-583
Number of pages15
JournalECONOMIC INQUIRY
Volume57
Issue number1
Early online date12 Jun 2018
DOIs
Publication statusPublished - 1 Jan 2019

King's Authors

Abstract

We use intraday aggregate stock market data and an event-study framework to assess the UK's equity market reaction to the unexpected element of the Bank of England Monetary Policy Committee's (MPC) asset purchase announcements for the 2009–2017 period. We assess the reactions of equity returns and their volatility over various time frames, both preceding and following the MPC announcements. Our results show that the UK unconventional monetary policy shocks have a significant impact on domestic equity returns and volatilities. The strength of this impact depends on the Bank's information dissemination through inflation reports and the publication of the MPC's voting records. (JEL G14, E44, E52).

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