scholarly journals Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries

2021 ◽  
Vol 6 (1) ◽  
pp. 21-44
Author(s):  
Mercédesz Mészáros ◽  
Dóra Sallai ◽  
Gábor Dávid Kiss
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
Panel Regression ◽  
Quantitative Easing ◽  
Small Open Economies ◽  
Quantile Regressions ◽  
Valuation Uncertainty ◽  
European Stock Markets ◽  
The Relationship ◽  
Country Specific

Abstract Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression.

scholarly journals How US wages effect post-socialist European stock markets: an empirical study

2018 ◽  
Vol 7 (4) ◽  
pp. 179 ◽  
Author(s):  
Deniz Ilalan
Keyword(s):  
Monetary Policy ◽  
Empirical Study ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Hourly Wage ◽  
Fed Funds Rate ◽  
Average Hourly Wage ◽  
Wage Increases ◽  
European Stock Markets ◽  
The Impact

Following the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not. 

The quantitative easing effect on the stock market of the USA, the UK and Japan

2016 ◽  
Vol 43 (6) ◽  
pp. 1006-1021 ◽  
Author(s):  
Luiz Lima ◽  
Claudio Foffano Vasconcelos ◽  
Jose Simão ◽  
Helder Ferreira de Mendonça
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Stock Markets ◽  
Positive Impact ◽  
Central Banks ◽  
Quantitative Easing ◽  
Subprime Crisis ◽  
Content Type ◽  
The Usa ◽  
The Uk

Purpose The purpose of this paper is to analyze if the unconventional monetary policy, known as quantitative easing (QE) practiced by central banks in the USA, the UK, and Japan was effective to increase the market share after subprime crisis. Design/methodology/approach In order to analyze the effect of the QE on the stock markets of the USA, the UK, and Japan, the authors use an ARDL model to find the long-run relationship among the variables. Findings The findings denote that the QE implemented by the central banks in the USA, Japan, and the UK had a positive impact on their stock markets. Originality/value The results of the paper give some new insights about the conduction of monetary policy when the interest rates are close to zero.

Emerging Markets Reward Risk

2016 ◽  
Vol 7 (3) ◽  
pp. 65-76
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
North Africa ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
International Financial Crisis ◽  
Show Evidence ◽  
European Stock Markets ◽  
The Relationship ◽  
Asset Managers

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40 (France), DAX (Germany), and the Swiss market. The empirical findings show evidence that; contrary to European stock markets; MENA region stock markets generally reward risk during 2008 financial crisis. This result is important for international asset managers and investors to consider investing in emergent markets from MENA region.

European Stock Markets and the ECB's Monetary Policy Surprises*

2008 ◽  
Vol 11 (2) ◽  
pp. 117-130 ◽  
Author(s):  
Martin T. Bohl ◽  
Pierre L. Siklos ◽  
David Sondermann
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
European Stock Markets

Emerging Markets Reward Risk

2018 ◽  
pp. 421-433
Author(s):  
Salim Lahmiri ◽  
Stephane Gagnon
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Mena Region ◽  
2008 Financial Crisis ◽  
Risk And Return ◽  
International Financial Crisis ◽  
Show Evidence ◽  
European Stock Markets ◽  
The Relationship ◽  
Asset Managers

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40 (France), DAX (Germany), and the Swiss market. The empirical findings show evidence that; contrary to European stock markets; MENA region stock markets generally reward risk during 2008 financial crisis. This result is important for international asset managers and investors to consider investing in emergent markets from MENA region.

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