A Study of the Impact of two United States Quantitative Easing Programs on some Major Financial Markets

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Theemaporn Panyasombat

Abstract

The purpose of this study is to explore the relationship between two United States Quantitative Easing programs (Quantitative Easing one and two) and the existence of positive abnormal returns among eight major financial markets which are the eight variables in this study: the Morgan Stanley Capital International (MSCI) World Index, the Standard and Poor (S&P) 500, the JP Morgan Emerging Markets Bond Index (EMBI) Spread, the Financial Times and the London Stock Exchange (FTSE) 100, Deutscher Aktien Index (DAX), Stock Exchange of Thailand (SET), 10 Year Treasury Yield, and Gold. This research aims to test the purpose of market efficiency, only focusing on the Semi-Strong form hypothesis. The daily closing price data from each financial market was collected from the Bloomberg database during the periods running from 17 June 2008 to 2 December 2008 and 13 April 2011 to 28 September 2011 respectively. The Unit Root Test by Augmented Dickey Fuller is applied. It is carried out by the EViews 5.1 program. This research follows the Correlational Research Methodology, which includes the Event Study Methodology and the use of Microsoft Excel. Statistically significant Total Standardized Abnormal Returns, Cumulative Total Standardized Abnormal Returns, Z-Statistic, and P-Value determination were used to present the test results. All eight variables became stationary data at first difference level. The Event Study Methodology interpreted the Total Standardized Abnormal Returns (TSARs) as not equal to zero, which means that both US Quantitative Easing programs had an effect on major financial markets. However, Quantitative Easing two had an excessive leakage. The Cumulative Total Standardized Abnormal Returns (CTSARs) is significant.

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How to Cite
Panyasombat, T. (2014). A Study of the Impact of two United States Quantitative Easing Programs on some Major Financial Markets. AU-GSB E-JOURNAL, 5(2). Retrieved from http://www.assumptionjournal.au.edu/index.php/AU-GSB/article/view/476
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Author Biography

Theemaporn Panyasombat

Theemaporn Panyasombat recently graduated from Assumption University, Graduate School of Business. This research was completed under the supervision of Dr. Ismail, Program Director