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Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity

Author

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  • Alexander Hütteroth

    (University of Finance and Administration)

  • Petr Budinský

    (University of Finance and Administration)

Abstract

In 2022 European equity markets lost some of their value, led by high-growth sectors, which generally have a significantly higher growth rate. The prevailing academic opinion is that the European Central Bank's monetary policy during the COVID-19 pandemic is a key reason and the financial and the technology sectors are defined to be particularly sensitive to interest rates. In this context, a performance sensitivity analysis for the STOXX Euro 600 sectors on European Central Bank interest rates from 2020 to 2022 will be investigated based on the assumption of a significant interest rate sensitivity. The objective is achieved with a Pearson correlation and linear regression. The results confirm a correlation for the selected sectors, indicating a potential general sensitivity for the entire investigation period. On this basis, further research on sectors and variables such as inflation and a comparison with Fed interest rates and the S&P 500 is recommended.

Suggested Citation

  • Alexander Hütteroth & Petr Budinský, 2023. "Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity," ACTA VSFS, University of Finance and Administration, vol. 17(2), pages 125-144.
    • Handle: RePEc:prf:journl:v:17:y:2023:i:2:p:125-144
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    References listed on IDEAS

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    1. Luca Alfieri & Mustafa Hakan Eratalay & Darya Lapitskaya & Rajesh Sharma, 2022. "The Effects Of The Ecb Communications On Financial Markets Before And During Covid-19 Pandemic," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 140, Faculty of Economics and Business Administration, University of Tartu (Estonia).
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      Keywords

      STOXX Europe 600; performance sensitivity; mean reversion; interest rates; COVID-19; central banks;
      All these keywords.

      JEL classification:

      • F30 - International Economics - - International Finance - - - General

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