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dc.contributor.authorŠafár, Leoš
dc.contributor.authorSiničáková, Marianna
dc.date.accessioned2019-07-10T08:14:38Z-
dc.date.available2019-07-10T08:14:38Z-
dc.date.issued2019
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2019, roč. 22, č. 1, s. 173-187.cs
dc.identifier.issn2336-5604 (Online)
dc.identifier.issn1212-3609 (Print)
dc.identifier.urihttp://hdl.handle.net/11025/34878
dc.format15 s.cs
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.relation.ispartofseriesE+M. Ekonomie a Management = Economics and Managementcs
dc.rightsCC BY-NC 4.0en
dc.subjectkvantitativní uvolňovánícs
dc.subjectevent studycs
dc.subjectměnová politikacs
dc.subjectakciové trhycs
dc.titleQuantitative easing effects on equity markets: event study evidence from the USen
dc.typečlánekcs
dc.typearticleen
dc.rights.accessopenAccessen
dc.type.versionpublishedVersionen
dc.description.abstract-translatedIn 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.en
dc.subject.translatedquantitative easingen
dc.subject.translatedevent studyen
dc.subject.translatedmonetary policyen
dc.subject.translatedequity marketsen
dc.identifier.doihttps://dx.doi.org/10.15240/tul/001/2019-2-012
dc.type.statusPeer-revieweden
Appears in Collections:Číslo 2 (2019)
Číslo 2 (2019)

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