This paper investigates the impact of monetary policy on stock returns in thirteen OECD
countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect
stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our
contribution with respect to previous work is threefold. First, we show that our findings are robust to
various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality
exhibited by the stock returns data. Finally, we take into account the increasing co-movement among
international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.