Monetary Policy, Macroeconomic and Anomalies Interactions Post COVID in Developed and Eastern European Stock Markets
Keywords:
Anomalies, Efficient Market Hypothesis, Momentum Effect, COVID-19, Monetary Policy, Macroeconomic, Stock Market Performances
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.
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References
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Lakshmanasamy, T. (2021). The Relationship Between Exchange Rate and Stock Market Volatilities in India: ARCH-GARCH Estimation of the Causal Effects. International Journal of Finance Research, 2(4), 244-259.
Lee, J. W. & Brahmasrene, T. (2018). An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea. The Journal of Asian Finance, Economics and Business, 5(3), 7-17.
Liang, Z. & Silber, M. (2020). An Overview of the Evolution of Modern Macroeconomic Theories. Journal of Student Research, 9(2).
Lintner, J. (1975). Inflation and Security Returns The Journal of Finance, 30(2).
Loang, O. K. & Ahmad, Z. (2022). Market Overreaction, Firm-Specific Information and Macroeconomic Variables in US and Chinese Markets During COVID-19. Journal of Economic Studies, 49(8).
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Neifar, M. & Gharbi, L. (2023). Stability and Insolvency Sensitivity to Tunisian Bank Specific and Macroeconomic Effects. Journal of Islamic Accounting and Business Research, 14(2).
Nelson, C. R. (1975). Inflation and Rates of Return on Common Stocks. The Journal of Finance, 31(2).
Ogujiuba, K. & Cornelissen, M. (2020). Macroeconomic Theory and Unemployment: A Comparison between the Keynesian and New Classical Model: Array. Acta Universitatis Danubius. Œconomica, 16(2).
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Patil, A. C. & Rastogi, S. (2019). Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. Journal of Risk and Financial Management, 12(2).
Qamri, G. M., Abrar, M. & Akram, F. (2015). The Impact of Inflation on Stock Prices: Evidence from Pakistan. Microeconomics and Macroeconomics, 3(4), 83-88.
Rabin, M. & Thaler, R. H. (2001). Anomalies: Risk Aversion. Journal of Economic Perspectives, 15(1).
Rasool, N. & Ullah, S. (2020). Financial Literacy and Behavioural Biases of Individual Investors: Empirical Evidence of Pakistan Stock Exchange. Journal of Economics, Finance and Administrative Science, 25(50), 261-278.
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Safdar, I. (2020). Decoupling Stock Price Momentum from Accounting Fundamentals. Pacific Accounting Review, 32(4).
Salur, B. V. & Ekinci, C. (2023). Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor. International Journal of Financial Studies, 11(49).
Sawitri, N. N. & Astuty, P. (2018). Market Anomalies and Effect on Returns. European Research Studies Journal, 21(2).
?en, H., Kaya, A., Kaptan, S. & Cömert, M. (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, 29(3), 289-318.
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Supriya, M. & Raj Singh, D. (2017). Momentum Anomaly: Evidence from the Indian Stock Market. Journal of Advances in Management Research, 14(1).
Suriani, S., Kumar, M. D., Jamil, F. J. & Muneer, S. (2015). Impact of Exchange Rate on Stock Market International Journal of Economics and Financial Issues 5(Special).
Tian, M., Li, W. & Wen, F. (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, 55, 1-21.
Tripathy, N. (2011). Causal Relationship between Macro-Economic Indicators and Stock Market in India. Asian Journal of Finance and Accounting, 3(1).
Uwubanmwen, A. & Eghosa, I. L. (2015). Inflation Rate and Stock Returns: Evidence from Nigerian Stock Market. International Journal of Business and Social Science, 6(11).
WHO, W. H. O. (2023). WHO Coronavirus (COVID-19) Dashboard in Situation by Region, Country, Territory & Area. Geneva, Switzerland
Wong, H. T. (2022). The Impact of Real Exchange Rates on Real Stock Prices. Journal of Economics, Finance and Administrative Science, 27(54), 262-276.
Woo, K.-Y., Mai, C., McAleer, M. & Wong, W. K. (2020). Review on Efficiency and Anomalies in Stock Markets. Economies, 8(1), 51.
Xu, S. (2023). The Impact of Behavioral Bias on Investment Decision-Making. Highlights in Business, Economics and Management, 15, 194-202.
Ying, Q., Yousaf, T., Ain, Q. U., Akhtar, Y. & Rasheed, M. S. (2019). Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis. Journal of Risk and Financial Management, 12(2), 22.
Zhang, Y. & Zheng, X. (2015). A Study of the Investment Behavior Based on Behavioral Finance. European Journal of Business and Economics, 10(1), 1-5.
Alawin, M., Ali, A. T. & Merza, E. (2018). The Relationship between Economic Growth and Stock Market. International Journal of Advances in Management and Economics, 7(5).
Ali, S. A. & Joshi, S. (2022). The Effect of Domestic Slowdown on Momentum Profitability: Evidence from The Indian Market. International Journal of Multidisciplinary Innovative Research, 2(1).
Amitrano, C. R. & Vasconcelos, L. (2019). Income Distribution, Inflation and Economic Growth: A Post-Keynesian Approach. Panoeconomicus, 66(3).
Asimakopulos, A. (2020). Kalecki and Keynes on Finance, Investment and Saving. In Investment, Employment and Income Distribution. Routledge
Bouattour, M. & Martinez, I. (2019). Efficient Market Hypothesis: An Experimental Study with Uncertainty and Asymmetric Information Finance Contrôle Stratégie, 22(4).
Cattlin, B. (2018). What are Market Anomalies? [Source: Bloomberg]. 1. Retrieved 24 July 2023, from
CFI Team. (2022). What is the International Fisher Effect (IFE)? Retrieved 30 July 2023, from
Chiang, T. C. (2022). The Effects of Economic Uncertainty, Geopolitical Risk and Pandemic Upheaval on Gold Prices. Resources Policy, 76.
Chiang, T. C. (2023). Real Stock Market Returns and Inflation: Evidence from Uncertainty Hypotheses. Finance Research Letters, 53.
Cho, S. (2013). New Return Anomalies and New-Keynesian ICAPM. International Review of Financial Analysis, 29(1).
Commendatore, P., Acunto, S., Panico, C. & Pinto, A. (2003). Keynesian Theories of Growth In.
Dahlquist, M. & Hasseltoft, H. (2020). Economic Momentum and Currency Returns. Journal of Financial Economics, 136(1).
Dai, Z., Li, T. & Yang, M. (2022). Forecasting Stock Return Volatility: The Role of Shrinkage Approaches in a Data?Rich Environment Journal of Forecasting, 41(5).
Dhankar, R. & Maheshwari, S. (2016). Behavioral Finance: A New Paradigm to Explain Momentum Effect. SSRN Electronic Journal, 1-6.
Dodig, A. (2020). Relationship Between Macroeconomic Indicators and Capital Markets Performance in Selected Southeastern European Countries. Zagreb International Review of Economics and Business, 23(2), 55-88.
Fama, E. F. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5).
Feldstein, M. (1980). Inflation and the Stock Market. The American Economic Review, 70(5).
Fieger, J. (2017). Behavioral Finance and Its Impact on Investing [Senior Thesis]. 43. Retrieved 24 July 2023.
Friedman, M. & Savage, L. J. (1948). The Utility Analysis of Choice Involving Risk Journal of Political Economy 56.
Gavriilidis, K. & Kgari, L. M. (2016). Chapter 2 - Stock Returns and Inflation: The Case of Botswana. In P. Andrikopoulos, G. N. Gregoriou, & V. Kallinterakis (Eds.), Handbook of Frontier Markets (pp. 27-38). Academic Press.
Haddad, V., Huebner, P. & Loualiche, E. (2021). How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing. Social Science Research Network (SSRN).
Hashmi, S. M. & Chang, B. H. (2023). Asymmetric Effect of Macroeconomic Variables on the Emerging Stock Indices: A Quantile ARDL Approach. International Journal of Finance & Economics, 28(1).
Huy, D. T. N., Nhan, V. K., Bich, N. T. N., Hong, N. T. P., Chung, N. T. & Huy, P. Q. (2021). Impacts of Internal and External Macroeconomic Factors on Firm Stock Price in an Expansion Econometric Model: A Case in Vietnam Real Estate Industry. Data Science for Financial Econometrics.
IMF. (2023). Inflation: Prices on the Rise Finance & Development 30-31. Retrieved 29 July 2023, from
Jan, N., Li, Z., Xiyu, L., Farhan Basheer, M. & Tongkachok, K. (2022). Pre- and Post-COVID-19: The Impact of the Pandemic and Stock Market Psychology on the Growth and Sustainability of Consumer Goods Industries. Frontiers in Psychology, 13.
Jegadeesh, N. & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1).
Kamoune, A. & Ibenrissoul, N. (2022). Traditional Versus Behavioral Finance Theory. International Journal of Accounting, Finance, Auditing, Management and Economics, 3(2), 282-294.
Kim, C. & Lee, C. (2018). Market Liquidity and Momentum Profits: Evidence from the Korean Stock Market. Journal of Derivatives and Quantitative Studies, 26(4).
Klein, M. & Linnemann, L. (2023). The Composition of Public Spending and the Inflationary Effects of Fiscal Policy Shocks. European Economic Review, 15(5).
Lakshmanasamy, T. (2021). The Relationship Between Exchange Rate and Stock Market Volatilities in India: ARCH-GARCH Estimation of the Causal Effects. International Journal of Finance Research, 2(4), 244-259.
Lee, J. W. & Brahmasrene, T. (2018). An Exploration of Dynamical Relationships between Macroeconomic Variables and Stock Prices in Korea. The Journal of Asian Finance, Economics and Business, 5(3), 7-17.
Liang, Z. & Silber, M. (2020). An Overview of the Evolution of Modern Macroeconomic Theories. Journal of Student Research, 9(2).
Lintner, J. (1975). Inflation and Security Returns The Journal of Finance, 30(2).
Loang, O. K. & Ahmad, Z. (2022). Market Overreaction, Firm-Specific Information and Macroeconomic Variables in US and Chinese Markets During COVID-19. Journal of Economic Studies, 49(8).
Lu, R., Hoang, V. & Wong, W.-K. (2021). Do Lump-Sum Investing Strategies Outperform Dollar-Cost Averaging Strategies? Studies in Economics and Finance, 38(3).
Lu, X., Stambaugh, R. F. & Yuan, Y. (2017). Anomalies Abroad: Beyond Data Mining. In N. B. o. E. R. (NBER) (Ed.), NBER Working Paper (pp. 48). Massachusetts Avenue Cambridge
Malyshenko, K., Malyshenko, V., Ponomareva, E. Y. & Anashkina, M. (2019). Analysis of the Stock Market Anomalies in the Context of Changing the Information Paradigm Eastern Journal of European Studies, 10(1).
Moradi, M., Appolloni, A., Zimon, G., Tarighi, H. & Kamali, M. (2021). Macroeconomic Factors and Stock Price Crash Risk: Do Managers Withhold Bad News in the Crisis-Ridden Iran Market? Sustainability, 13(7).
Neifar, M. & Gharbi, L. (2023). Stability and Insolvency Sensitivity to Tunisian Bank Specific and Macroeconomic Effects. Journal of Islamic Accounting and Business Research, 14(2).
Nelson, C. R. (1975). Inflation and Rates of Return on Common Stocks. The Journal of Finance, 31(2).
Ogujiuba, K. & Cornelissen, M. (2020). Macroeconomic Theory and Unemployment: A Comparison between the Keynesian and New Classical Model: Array. Acta Universitatis Danubius. Œconomica, 16(2).
Olusola, B. E., Chimezie, M. E., Shuuya, S. M. & Addeh, G. Y. A. (2022). The Impact of Inflation Rate on Private Consumption Expenditure and Economic Growth: Evidence from Ghana Open Journal of Business and Management, 10(4).
Parui, P. (2022). Government Expenditure and Economic Growth: A Post-Keynesian Analysis. In Capitalism: An Unsustainable Future? Routledge.
Patil, A. C. & Rastogi, S. (2019). Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. Journal of Risk and Financial Management, 12(2).
Qamri, G. M., Abrar, M. & Akram, F. (2015). The Impact of Inflation on Stock Prices: Evidence from Pakistan. Microeconomics and Macroeconomics, 3(4), 83-88.
Rabin, M. & Thaler, R. H. (2001). Anomalies: Risk Aversion. Journal of Economic Perspectives, 15(1).
Rasool, N. & Ullah, S. (2020). Financial Literacy and Behavioural Biases of Individual Investors: Empirical Evidence of Pakistan Stock Exchange. Journal of Economics, Finance and Administrative Science, 25(50), 261-278.
Rice, A. (2023). WHO Says COVID-19 Health Emergency is Over as Mortality Rates Reach All-time Low. Medical News Today.
Safdar, I. (2020). Decoupling Stock Price Momentum from Accounting Fundamentals. Pacific Accounting Review, 32(4).
Salur, B. V. & Ekinci, C. (2023). Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor. International Journal of Financial Studies, 11(49).
Sawitri, N. N. & Astuty, P. (2018). Market Anomalies and Effect on Returns. European Research Studies Journal, 21(2).
?en, H., Kaya, A., Kaptan, S. & Cömert, M. (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, 29(3), 289-318.
Shahzad, S. J. H., Hurley, D. & Ferrer, R. (2021). US Stock Prices and Macroeconomic Fundamentals: Fresh Evidence Using the Quantile ARDL Approach International Journal of Finance & Economics, 26(3).
Sharma, A. & Kumar, A. (2020). A Review Paper on Behavioral Finance: Study of Emerging Trends. Qualitative Research in Financial Markets, 12(2), 137-157.
Sharma, S. S., Phan, D. H. B. & Narayan, P. K. (2019). Exchange Rate Effects of US Government Shutdowns: Evidence from Both Developed and Emerging Markets Emerging Markets Review, 40, 40.
Singh, D., Sharma, D., Soni, S. L., Sharma, S., Kumar Sharma, P. & Jhalani, A. (2020). A Review of Feedstocks, Production Processes, and Yield for Different Generations of Biodiesel. Fuel, 262.
Singh, S., Walia, N., Bekiros, S., Gupta, A., Kumar, J. & Mishra, A. K. (2022). Risk-managed Time-Series Momentum: An Emerging Economy Experience. Journal of Economics, Finance and Administrative Science, 27(54).
Sumner, S. (2022). Whither Monetarism? Economic Affairs, 42(2).
Supriya, M. & Raj Singh, D. (2017). Momentum Anomaly: Evidence from the Indian Stock Market. Journal of Advances in Management Research, 14(1).
Suriani, S., Kumar, M. D., Jamil, F. J. & Muneer, S. (2015). Impact of Exchange Rate on Stock Market International Journal of Economics and Financial Issues 5(Special).
Tian, M., Li, W. & Wen, F. (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, 55, 1-21.
Tripathy, N. (2011). Causal Relationship between Macro-Economic Indicators and Stock Market in India. Asian Journal of Finance and Accounting, 3(1).
Uwubanmwen, A. & Eghosa, I. L. (2015). Inflation Rate and Stock Returns: Evidence from Nigerian Stock Market. International Journal of Business and Social Science, 6(11).
WHO, W. H. O. (2023). WHO Coronavirus (COVID-19) Dashboard in Situation by Region, Country, Territory & Area. Geneva, Switzerland
Wong, H. T. (2022). The Impact of Real Exchange Rates on Real Stock Prices. Journal of Economics, Finance and Administrative Science, 27(54), 262-276.
Woo, K.-Y., Mai, C., McAleer, M. & Wong, W. K. (2020). Review on Efficiency and Anomalies in Stock Markets. Economies, 8(1), 51.
Xu, S. (2023). The Impact of Behavioral Bias on Investment Decision-Making. Highlights in Business, Economics and Management, 15, 194-202.
Ying, Q., Yousaf, T., Ain, Q. U., Akhtar, Y. & Rasheed, M. S. (2019). Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis. Journal of Risk and Financial Management, 12(2), 22.
Zhang, Y. & Zheng, X. (2015). A Study of the Investment Behavior Based on Behavioral Finance. European Journal of Business and Economics, 10(1), 1-5.
Published
2023-09-20
How to Cite
Mohd Yusoff, Z. Z., Bahrudin, N. Z., & Suryani, A. W. (2023). Monetary Policy, Macroeconomic and Anomalies Interactions Post COVID in Developed and Eastern European Stock Markets. Information Management and Business Review, 15(3(SI), 470-479. https://doi.org/10.22610/imbr.v15i3(SI).3503
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Copyright (c) 2023 Zetty Zahureen Mohd Yusoff, Nur Zahidah Bahrudin, Ani Wilujeng Suryani
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