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

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dc.authoridÖzkan, Oktay/0000-0001-9419-8115
dc.authoridOlasehinde-Williams, Godwin Oluseye/0000-0002-3710-6146
dc.contributor.authorOlasehinde-Williams, Godwin
dc.contributor.authorOlanipekun, Ifedola
dc.contributor.authorOzkan, Oktay
dc.date.accessioned2024-09-11T19:50:14Z
dc.date.available2024-09-11T19:50:14Z
dc.date.issued2023
dc.departmentİstanbul Gelişim Üniversitesien_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 significantly predicted by quantitative 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 effect of quantitative easing on stock market volatility and returns becomes pronounced during periods of crisis. The reactions are most significant in periods corresponding to the Asian financial crisis, the global financial crisis and the COVID-19 pandemic outbreak. Overall, the causal effect of quantitative easing on both stock market returns and volatility changes through time; the effect on stock market returns is also greater than on stock market volatility.en_US
dc.identifier.doi10.1007/s10614-023-10450-y
dc.identifier.issn0927-7099
dc.identifier.issn1572-9974
dc.identifier.scopus2-s2.0-85171425882en_US
dc.identifier.urihttps://doi.org/10.1007/s10614-023-10450-y
dc.identifier.urihttps://hdl.handle.net/11363/7593
dc.identifier.wosWOS:001067410900001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_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/closedAccessen_US
dc.snmz20240903_Gen_US
dc.subjectQuantitative easingen_US
dc.subjectStock marketen_US
dc.subjectRolling windowsen_US
dc.subjectNonparametric causality-in-quantilesen_US
dc.subjectUSAen_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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