Investment Styles and Monetary Policy Shocks: Evidence from Advanced and Emerging Economies
Date
2023
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
University of the Witswatersrand, Johannesburg
Abstract
The paper investigates the impact of monetary policy shocks on investment styles in South Africa and the United States of America. The results indicate that monetary policy shocks significantly affect investment styles through transmission in the stock market. The findings show that value investing, and low volatility investing are the major safe havens for investors during monetary policy shocks or increasing interest rates. Results showed an inflation price puzzle in both countries, but inflation declined in the intermediary period. Our findings are robust in terms of investment styles' response to the monetary policy shock. The robust results showed consistency in how investment styles react to monetary policy shocks
Description
A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the
degree of Master of Management in Finance and Investment
Keywords
UCTD, Monetary policy shock, Investment styles and response, United States of America, South Africa, Stock marke