Effect of Quantitative Easing on the US Stock Market During the COVID-19 Pandemic
|Author:||Bc. Ondřej Michalík|
|Year:||2021 - summer|
|Leaders:|| PhDr. František Čech Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This work examines the effects of quantitative easing on different stock indices in the form of S&P 500, NASDAQ-100, DJIA and Russell 2000. The effects
are analysed through the implementation of standard statistical methods and
ARMA-GJR-GARCH models. Weekly data on total assets held by Fed and
announcement dates are employed as variables representing quantitative easing.
A strong positive relationship between quantitative easing and the stock market
indices was found, with the most significant effect on the Russell 2000. The inclusion of quantitative easing in our ARMA equation visually seemed to explain
some of the market’s volatility after the Fed’s announcements of quantitative
easing, but statistical methods did not confirm this hypothesis.