<p>This paper applies weekly data to investigate the effects of the conventional and unconventional monetary policy shocks on US stock returns, using a multivariate structural VAR model that considers transmission mechanisms in channeling the effects of these shocks into the stock market. We identify both types of policy shocks using high and low volatility in the relevant policy variables. Our empirical results suggest that the interest rate channel, not the bank lending channel, plays a major role in the process of transmission and the US stock market responds less to the conventional monetary policy than the unconventional one. We estimate that expansionary policy shocks that lower the long term interest rate by 25 basis points increase stock returns by 0.57% and 2% under the conventional and unconventional monetary policies, respectively, over five weeks.</p>