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The assessment of the United States quantitative easing policy: Evidence from global stock markets

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  • Jung†Bin Su
  • Ken Hung

Abstract

This study assesses the performance of the quantitative easing policy implemented by the United States (US) on the stock markets with a framework of structure break. The empirical results show that the business cycle or the value of gross domestic production has a negative impact on the stock markets for most of the countries even if both gross domestic production and many stock prices are procyclical. Moreover, the purchases of US Treasury securities and mortgage†backed securities respectively affect the stock markets synchronously and laggardly. Notably, they both have a positive impact on the stock markets during the study period. Finally, during the after structure break period, the volatility can be easily affected by bad news, and the investors have the lower profit or even the greater loss and bear the greater risk and variation of risk owing to the global financial crisis caused by the US. On the basis of the above findings, some policy implications are offered in this study.

Suggested Citation

  • Jung†Bin Su & Ken Hung, 2017. "The assessment of the United States quantitative easing policy: Evidence from global stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 319-340, October.
    • Handle: RePEc:wly:ijfiec:v:22:y:2017:i:4:p:319-340
    DOI: 10.1002/ijfe.1590
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    Cited by:

    1. Anastasios Evgenidis & Stephanos Papadamou, 2021. "The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5684-5703, October.
    2. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    3. Imran Shah & Francesca Schmidt-Fischer & Issam Malki, 2018. "The portfolio balance channel: an analysis on the impact of quantitative easing on the US stock market," Department of Economics Working Papers 74/18, University of Bath, Department of Economics.
    4. Shah, Imran Hussain & Schmidt-Fischer, Francesca & Malki, Issam & Hatfield, Richard, 2019. "A structural break approach to analysing the impact of the QE portfolio balance channel on the US stock market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 204-220.

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