Název:	Quantitative easing effects on equity markets: event study evidence from the US
Autoři:	Šafár, Leoš Siničáková, Marianna
Citace zdrojového dokumentu:	E+M. Ekonomie a Management = Economics and Management. 2019, roč. 22, č. 1, s. 173-187.
Datum vydání:	2019
Nakladatel:	Technická univerzita v Liberci
Typ dokumentu:	článek article
URI:	http://hdl.handle.net/11025/34878
ISSN:	2336-5604 (Online) 1212-3609 (Print)
Klíčová slova:	kvantitativní uvolňování;event study;měnová politika;akciové trhy
Klíčová slova v dalším jazyce:	quantitative easing;event study;monetary policy;equity markets
Abstrakt v dalším jazyce:	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 diffi culty 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 specifi c announcements, excess returns fell to negative range, which could be explained as misunderstanding of reaction function or active portfolio rebalancing towards assets directly infl uenced 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 fi nd signifi cant 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.
Práva:	CC BY-NC 4.0
Vyskytuje se v kolekcích:	Číslo 2 (2019) Číslo 2 (2019)

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