تلخیص
The country's stock market has now become a major indicator of the direction of the nation’s economy, and undoubtedly the global
financial crisis has essentially destroyed all the stock exchanges. Therefore, the current study focuses on finding factors related to
monetary policies that affect stock market volatility. Money market interest and other linked monetary policies determine the
direction of the stock market. We consider monthly data from the period of Jan-2005 to Dec-2018 and measure the correlation,
Cointegration and causality among variables. The GARCH (1, 1) model is used to generate stock market index volatility and interest
rate shocks. The developed model analyzes by using trace rank test of Johansen Cointegration analysis, Granger causality analysis
and Impulse response analysis with proper contemplation of all diagnostic test. The results confirm the long-run negative and
significant relationship of interest rate shocks, inflation rate, financial crisis, and stock market volatility. The exchange rate and
money supply associated positively and significantly with stock market volatility in the long run. All predictors and outcome
variables have a causal relation with each other, but the financial crisis of the world does not show as causal relation with the stock
exchange volatility. This study will help policymakers to take a closer look at these factors when making monetary and all associated
policies because the study provides a realistic picture before the crisis, during the crisis and after the crisis effects of all these factors
on the stock market. Since we know the growing importance of the stock market for the economy of all countries, it is imperative
for authorities to look at all the factors that affect the market deeply.
Wang PeiZhi, Muhammad Ramzan. (2019) Do Interest Rate Shocks and Monetary Policies Matter for the Volatility of the Stock Market? The Role of World Financial Crisis, Paradigms , Vol 13, Special Issue.
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