Quantitative easing effects on equity markets – event study evidence from the US

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dc.contributor.author Šafár, Leoš
dc.contributor.author Siničáková, Marianna
dc.contributor.other Ekonomická fakulta cs
dc.date.accessioned 2019-06-15T15:51:01Z
dc.date.available 2019-06-15T15:51:01Z
dc.identifier.issn 1212-3609
dc.identifier.uri https://dspace.tul.cz/handle/15240/152603
dc.description.abstract In this paper we examine effects of the QE related statements made by the FED on major equity indices in the US. We consider days, when announcements had been made, as events for the event-study. We approach this methodology with aim to calculate excess returns on particular announcement day for Dow Jones Industrial Average, Standard´s & Poor´s 500, NASDAQ and Russell2000. Admitting complexity of those statements, and difficulty to isolate effects linked only to QE related information, we analysed statements individually, to be able to extrapolate deviations more accurately. Results indicate positive excess returns (above average performance over previous 60 days) on each index from 2008 to 2017 in average, while on some specific announcements, excess returns fell to negative range, which could be explained as misunderstanding of reaction function or active portfolio rebalancing towards assets directly influenced by the programme mentioned in the particular announcement. Considering also multiplicity, for DJIA, NASDAQ and S&P500 we conclude, that positive reactions follow especially information linked to prolongation or expansion of existing QE programme, while on the other hand initial information about QE cause mentioned portfolio rebalancing from equities towards other assets (RUSSEL2000 did not signal particular direction in line with announcement days´ information). We can also conclude that even if tapering linked information are considered as a part of the QE programmes, we did not find significant evidence of neither positive nor negative reaction on particular tapering-linked announcements. We add on, that the tapering and balance sheet unwinding are unprecedented to some extent, and therefore require further research, especially in current environment where such policy normalization is widely discussed. en
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dc.language.iso en
dc.publisher Technická Univerzita v Liberci cs
dc.publisher Technical university of Liberec, Czech Republic en
dc.relation.ispartof Ekonomie a Management cs
dc.relation.ispartof Economics and Management en
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dc.rights CC BY-NC
dc.subject quantitative easing en
dc.subject event-study en
dc.subject monetary policy en
dc.subject equity markets en
dc.subject.classification E520
dc.subject.classification G140
dc.title Quantitative easing effects on equity markets – event study evidence from the US en
dc.type Article en
dc.publisher.abbreviation TUL
dc.relation.isrefereed true
dc.identifier.doi 10.15240/tul/001/2019-2-012
dc.identifier.eissn 2336-5604
local.relation.volume 22
local.relation.issue 2
local.relation.abbreviation E+M cs
local.relation.abbreviation E&M en
local.faculty Faculty of Economics
local.citation.spage 173
local.citation.spage 187
local.access open
local.fulltext yes
local.filename EM_2_2019_12


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