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

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dc.contributor.authorŠafár, Leoš
dc.contributor.authorSiničáková, Marianna
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2019-06-15T15:51:01Z
dc.date.available2019-06-15T15:51:01Z
dc.description.abstractIn 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
dc.formattext
dc.identifier.doi10.15240/tul/001/2019-2-012
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/152603
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
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dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectquantitative easingen
dc.subjectevent-studyen
dc.subjectmonetary policyen
dc.subjectequity marketsen
dc.subject.classificationE520
dc.subject.classificationG140
dc.titleQuantitative easing effects on equity markets – event study evidence from the USen
dc.typeArticleen
local.accessopen
local.citation.spage173
local.citation.spage187
local.facultyFaculty of Economics
local.filenameEM_2_2019_12
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue2
local.relation.volume22
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