IDEAS home Printed from https://ideas.repec.org/a/rnd/arimbr/v15y2023i3p470-479.html
   My bibliography  Save this article

Monetary Policy, Macroeconomic and Anomalies Interactions Post COVID in Developed and Eastern European Stock Markets

Author

Listed:
  • Zetty Zahureen Mohd Yusoff
  • Nur Zahidah Bahrudin
  • Ani Wilujeng Suryani

Abstract

The purpose of this study is to examine the crucial factors amongst monetary policy and macroeconomic variables that spike the anomalies momentum on stock markets post-COVID-19 pandemic in selected Developed and Eastern European countries. This study uses panel data to measure the cross interactions of five stock exchanges based on unprecedented recovery in the European stock markets that yield astonishingly higher returns post-COVID-19, believed to be due to a perfect adoption of monetary policies (Exchange and Inflation Rates) and macroeconomic factor (Economic Growth) from January 2017 to December 2022. Findings suggest that the Exchange Rate and Economic Growth of the country are positively significant in influencing the Stock Market Performance in European stock markets. Additionally, the Inflation Rate surprisingly is negatively related to Stock Market Performance. Furthermore, local and foreign investors prefer to invest in a country that has a great adoption of monetary policies (stable Exchange Rate and lower Inflation Rates) as well as macroeconomic variables (resilient Economic Growth) for post COVID-19 economic landscape. For practical implications, the study suggests that the stock market performance, exchange rate, inflation rate, and economic growth of the country should be maintained and improved to attract fund inflows from local and foreign investments. To the best of the authors’ knowledge, this study is the first that examines the anomalous market momentum effect post-COVID-19 pandemic focusing on aspects, monetary policy, and macroeconomic variables. The momentum effect investing strategies that provide abnormal returns in different stock markets truly existed.

Suggested Citation

  • Zetty Zahureen Mohd Yusoff & Nur Zahidah Bahrudin & Ani Wilujeng Suryani, 2023. "Monetary Policy, Macroeconomic and Anomalies Interactions Post COVID in Developed and Eastern European Stock Markets," Information Management and Business Review, AMH International, vol. 15(3), pages 470-479.
    • Handle: RePEc:rnd:arimbr:v:15:y:2023:i:3:p:470-479
    DOI: 10.22610/imbr.v15i3(SI).3503
    as

    Download full text from publisher

    File URL: https://ojs.amhinternational.com/index.php/imbr/article/view/3503/2239
    Download Restriction: no
    File URL: https://ojs.amhinternational.com/index.php/imbr/article/view/3503
    Download Restriction: no
    File URL: https://libkey.io/10.22610/imbr.v15i3(SI).3503?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Assia Kamoune & Nafii Ibenrissoul, 2022. "Traditional versus Behavioral Finance Theory [La théorie de la finance traditionnelle contre la théorie de la finance comportementale]," Post-Print hal-03634756, HAL.
    2. Chiang, Thomas C., 2023. "Real stock market returns and inflation: Evidence from uncertainty hypotheses," Finance Research Letters, Elsevier, vol. 53(C).
    3. Simarjeet Singh & Nidhi Walia & Stelios Bekiros & Arushi Gupta & Jigyasu Kumar & Amar Kumar Mishra, 2022. "Risk-managed time-series momentum: an emerging economy experience," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 27(54), pages 328-343, November.
    4. Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan, 2017. "Anomalies Abroad: Beyond Data Mining," NBER Working Papers 23809, National Bureau of Economic Research, Inc.
    5. Bayram Veli Salur & Cumhur Ekinci, 2023. "Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor," IJFS, MDPI, vol. 11(1), pages 1-21, March.
    6. N.N. Sawitri & P. Astuty, 2018. "Market Anomalies and Effect on Returns," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 630-649.
    7. Matthew Rabin & Richard H. Thaler, 2013. "Anomalies: Risk aversion," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 27, pages 467-480, World Scientific Publishing Co. Pte. Ltd..
    8. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    9. Zhifeng Dai & Tingyu Li & Mi Yang, 2022. "Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 980-996, August.
    10. Cho, Sungjun, 2013. "New return anomalies and new-Keynesian ICAPM," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 87-106.
    11. Mahdi Moradi & Andrea Appolloni & Grzegorz Zimon & Hossein Tarighi & Maede Kamali, 2021. "Macroeconomic Factors and Stock Price Crash Risk: Do Managers Withhold Bad News in the Crisis-Ridden Iran Market?," Sustainability, MDPI, vol. 13(7), pages 1-16, March.
    12. Shabir Mohsin Hashmi & Bisharat Hussain Chang, 2023. "Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1006-1024, January.
    13. Ante Dodig, 2020. "Relationship between Macroeconomic Indicators and Capital Markets Performance in Selected Southeastern European Countries," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 23(2), pages 55-88, November.
    14. Yu Zhang & Xiaosong Zheng, 2015. "A Study Of The Investment Behavior Based On Behavioral Finance," European Journal of Business and Economics, Central Bohemia University, vol. 10(1), pages 5571:10-557, June.
    15. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
    16. Dodig,Ante, 2020. "Relationship between Macroeconomic Indicators and Capital Markets Performance in Selected Southeastern European Countries," Policy Research Working Paper Series 9323, The World Bank.
    17. Claudio Roberto Amitrano & Lucas Vasconcelos, 2019. "Income Distribution, Inflation and Economic Growth: A Post-Keynesian Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 66(3), pages 277-306.
    18. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    19. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56(4), pages 279-279.
    20. Klein, Mathias & Linnemann, Ludger, 2023. "The composition of public spending and the inflationary effects of fiscal policy shocks," European Economic Review, Elsevier, vol. 155(C).
    21. Lintner, John, 1975. "Inflation and Security Returns," Journal of Finance, American Finance Association, vol. 30(2), pages 259-280, May.
    22. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2020. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 29(3), pages 289-318, April.
    23. Irfan Safdar, 2020. "Decoupling stock price momentum from accounting fundamentals," Pacific Accounting Review, Emerald Group Publishing Limited, vol. 32(4), pages 519-541, November.
    24. Nosheen Rasool & Safi Ullah, 2020. "Financial literacy and behavioural biases of individual investors: empirical evidence of Pakistan stock exchange," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 25(50), pages 261-278, May.
    25. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    26. Syed Jawad Hussain Shahzad & Dene Hurley & Román Ferrer, 2021. "U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3569-3587, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    2. Rick Harbaugh, 2005. "Prospect Theory or Skill Signaling?," Working Papers 2005-06, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
    3. Larbi Alaoui & Antonio Penta, 2022. "Attitudes towards success and failure," Economics Working Papers 1831, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Daniel Friedman & József Sákovics, 2015. "Tractable consumer choice," Theory and Decision, Springer, vol. 79(2), pages 333-358, September.
    5. Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.
    6. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
    7. Helga Fehr-Duda & Thomas Epper, 2012. "Probability and Risk: Foundations and Economic Implications of Probability-Dependent Risk Preferences," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 567-593, July.
    8. repec:cup:judgdm:v:8:y:2013:i:3:p:268-277 is not listed on IDEAS
    9. Raj Chetty & Adam Szeidl, 2007. "Consumption Commitments and Risk Preferences," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 122(2), pages 831-877.
    10. Laurent Denant-Boemont & Olivier L’Haridon, 2013. "La rationalité à l'épreuve de l'économie comportementale," Revue française d'économie, Presses de Sciences-Po, vol. 0(2), pages 35-89.
    11. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
    12. Dan Protopopescu, 2007. "Improving the Risk Concept: A Revision of Arrow-Pratt Theory in the Context of Controlled Dynamic Stochastic Environments," UFAE and IAE Working Papers 727.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 03 Dec 2009.
    13. Adam Eric Greenberg, 2013. "When imagining future wealth influences risky decision making," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 8(3), pages 268-277, May.
    14. Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).
    15. Kavitha Ranganathan, 2018. "Does Global Shapes Of Utility Functions Matter For Investment Decisions?," Bulletin of Economic Research, Wiley Blackwell, vol. 70(4), pages 341-361, October.
    16. Gustavo Adolfo Caballero Orozco, 2010. "Risk Preferences Under Extreme Poverty: A Field Experiment," Documentos CEDE 7717, Universidad de los Andes, Facultad de Economía, CEDE.
    17. Jacques Peeperkorn, 2014. "A Proposed Model to Behaviourally Pricing Risk," Journal of Economics and Behavioral Studies, AMH International, vol. 6(6), pages 477-487.
    18. repec:lan:wpaper:3312 is not listed on IDEAS
    19. Hwang, Joon Ho & Kim, Min-Su, 2015. "Misunderstanding of the binomial distribution, market inefficiency, and learning behavior: Evidence from an exotic sports betting market," European Journal of Operational Research, Elsevier, vol. 243(1), pages 333-344.
    20. Martin Herdegen & Nazem Khan & Cosimo Munari, 2024. "Risk, utility and sensitivity to large losses," Papers 2405.12154, arXiv.org.
    21. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
    22. Bouri, Elie & Nekhili, Ramzi & Kinateder, Harald & Choudhury, Tonmoy, 2023. "Expected inflation and U.S. stock sector indices: A dynamic time-scale tale from inflationary and deflationary crisis periods," Finance Research Letters, Elsevier, vol. 55(PA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rnd:arimbr:v:15:y:2023:i:3:p:470-479. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Muhammad Tayyab (email available below). General contact details of provider: https://ojs.amhinternational.com/index.php/imbr .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.