Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach

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dc.authorid0000-0002-3710-6146en_US
dc.contributor.authorOlasehinde-Williams, Godwin
dc.contributor.authorOlanipekun, Ifedola
dc.contributor.authorÖzkan, Oktay
dc.date.accessioned2023-11-13T08:54:39Z
dc.date.available2023-11-13T08:54:39Z
dc.date.issued2023en_US
dc.departmentFakülteler, İşletme Fakültesi, Yönetim Bilişim Sistemleri (İngilizce) Bölümüen_US
dc.description.abstractThe US Federal Reserve has been using quantitative easing as an unconventional monetary policy tool for providing liquidity and credit-market facilities to banks, and undertaking large-scale asset purchases in periods of crisis. This study carefully examines whether the US stock market has been responsive to the use of quantitative easing over time. A major contribution of this study to the extant literature is the introduction of the novel rolling windows nonparametric causality-in-quantiles approach to studying the reaction of the stock market to quantitative easing. This approach provides a means of investigating the time-varying causality between the variables across quantiles. The standard nonparametric causality-in-quantiles test results show that stock market performance is signifcantly predicted by quantita tive easing, except at very low and very high levels of stock returns (volatility). The rolling windows nonparametric causality-in-quantiles test results indicate that the causal efect of quantitative easing on stock market volatility and returns becomes pronounced during periods of crisis. The reactions are most signifcant in periods corresponding to the Asian fnancial crisis, the global fnancial crisis and the COVID-19 pandemic outbreak. Overall, the causal efect of quantitative easing on both stock market returns and volatility changes through time; the efect on stock market returns is also greater than on stock market volatility.en_US
dc.identifier.doi10.1007/s10614-023-10450-yen_US
dc.identifier.scopus2-s2.0-85171425882en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/7009
dc.identifier.urihttps://doi.org/10.1007/s10614-023-10450-y
dc.identifier.wosWOS:001067410900001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofComputational Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.subjectQuantitative easing, Stock market, Rolling windows, Nonparametric, causality-in-quantiles, USAen_US
dc.titleStock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approachen_US
dc.typeArticleen_US

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