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Quantitative Easing, Tapering And Stock Market Indices

Author

Listed:
  • Lucian Liviu ALBU

    (Institute for Economic Forecasting, Romanian Academy)

  • Radu LUPU

    (Institute for Economic Forecasting, Romanian Academy)

  • Adrian Cantemir CĂLIN

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

We investigate a series of unconventional monetary policies put forward by the Federal Reserve in order to fight the economic turbulence that followed the crisis of 2008. Building on our previous work, we study QE and tapering initiatives, focusing on the impact induced on a series of stock indices belonging to both mature and developing markets. A special attention is given to CEE markets. Our results indicate the fact that both the QE policy and the gradual exit from it had serious effects on the dynamics of the considered indices in terms of volatility.

Suggested Citation

  • Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN, 2016. "Quantitative Easing, Tapering And Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 5-23.
    • Handle: RePEc:cys:ecocyb:v:50:y:2016:i:3:p:5-23
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    References listed on IDEAS

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    Cited by:

    1. Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN), 2017. "An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 124-134, June.
    2. Adrian Cantemir CĂLIN & Oana Cristina POPOVICI & Gheorghe HURDUZEU, 2017. "The Impact of the Juncker Plan on Investors’ Beliefs," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 150-165, September.
    3. Carlos J. Rincon, 2024. "Equity Market Pricing and Central Bank Interventions: A Panel Data Approach," JRFM, MDPI, vol. 17(10), pages 1-24, September.

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    More about this item

    Keywords

    quantitative easing; tapering; monetary policy; stock markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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