Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328882 
Year of Publication: 
2023
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 11 [Issue:] 10 [Article No.:] 257 [Year:] 2023 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank credibility on stock market returns' volatility. A panel regression using financial and macroeconomic data from 45 OECD member countries over the period of 1998-2022 tested the hypothesis that central bank credibility determines stock exchange returns' volatility. The results indicated that credibility reduces stock returns' volatility, remaining robust and statistically significant across models. Economic growth also decreases stock market volatility, while money-market interest rates' volatility, the stock market's turnover ratio, and economic/financial crises act as amplifying factors of stock market volatility. All variables, except for economic growth, exhibit unidirectional causality, leading to changes in stock market volatility.
Subjects: 
central bank credibility
stock exchange volatility
financial data
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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