Quantitative Easing and the UK Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

15 Pages Posted: 5 Dec 2018

See all articles by Georgios E. Chortareas

Georgios E. Chortareas

University of Athens - Faculty of Economics; University of Essex - Department of Accounting, Finance & Management; King's College London

Menelaos Karanasos

Brunel University London - Economics and Finance

Emmanouil Noikokyris

Kingston University

Date Written: January 2019

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 Classification: G14, E44, E52

Suggested Citation

Chortareas, Georgios and Karanasos, Menelaos and Noikokyris, Emmanouil, Quantitative Easing and the UK Stock Market: Does the Bank of England Information Dissemination Strategy Matter? (January 2019). Economic Inquiry, Vol. 57, Issue 1, pp. 569-583, 2019. Available at SSRN: https://ssrn.com/abstract=3295868 or http://dx.doi.org/10.1111/ecin.12690

Georgios Chortareas (Contact Author)

University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
Greece
+(30) 210 3689805 (Phone)
+(30) 210 3689810 (Fax)

University of Essex - Department of Accounting, Finance & Management ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

King's College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Menelaos Karanasos

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

Emmanouil Noikokyris

Kingston University ( email )

Penrhyn Road
Kingston-upon-Thames
Surrey, KT1 2EE
United Kingdom

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