Aug 2026· ManageNex-Journal of Management Leadership, Innovation and Strategy· 0 citations
Abstract
This research investigates whether changes in monetary policy (proxied by the interest rate) impact the stock market return, volatility, and liquidity across three key indices of the Pakistan Stock Exchange: the KSE100, KSE30, and KMI30. Utilizing monthly data spanning from 2012 through 2025 and employing regression analysis, the findings demonstrate that an increase in the interest rate significantly increases stock market volatility across all three indices. However, monetary policy changes do not exert a statistically significant direct impact on stock market liquidity or stock market returns. Furthermore, a comprehensive multi-factor model reveals that while stock market volatility inversely reduces returns, enhanced stock market liquidity increases returns. Overall, the study concludes that monetary policy indirectly impacts investor performance by amplifying market volatility.
This paper investigates the impact of interest rate fluctuations on the performance of Ghana’s stock market using a time series econometric approach. Monthly data on interest rates and stock returns were analyzed to capture both short-run and long-run relationships through the application of ARCH/GARCH and VAR modeling...
Emmanuel Chinton, Joseph Kofi Senade· American Journal of Applied...· 0 citations
This paper examines how the announcement of the monetary policy by the Central Bank of Nigeria
(CBN) can affect the volatility of stock portfolios in the Nigerian capital market between 2015 and
2024. The study uses an event-study framework combined with a GARCH(1,1) volatility model to
investigate the dynamic risk cha...
I. Areghan· World Journal of Finance and...· 0 citations
This study examines the impact of monetary policy shocks (MPS) on future stock price crash risk (SPCR), using a sample of US firms from 1995 to 2019. We find that expansionary MPS significantly reduce the likelihood of SPCR, while contractionary MPS show no statistically significant effect on SPCR. These results rema...
Shun-Shun Xu, Haifeng Guo, Yeqin Zeng· International Journal of Fin...· 0 citations
Research Question: This study examines whether monetary policy influences stock market liquidity in Malaysia and whether the strength of this relationship varies across firms of different market capitalizations. Motivation: Monetary policy decisions can affect not only macroeconomic conditions but also the functioning...
Devendran A/L Nadaraja, Mohd Edil Abd Sukor· Capital Markets Review· 0 citations
This study investigates the empirical relationship between stock price volatility and the
corporate financial performance of listed manufacturing firms on the Nigerian Exchange
Group (NGX) from 2014 to 2024. Using a panel data approach, the study measures financial
performance through Return on Assets (ROA) and Retu...
F. Odey· International Journal of Eco...· 0 citations
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