Does quantitative easing have an impact on European equity markets?

Abstract

We examine whether the European Quantitative Easing program has an impact on equity markets, considering eight benchmark equity indices and applying a multivariate regression model. During the announcement period of the program, we find evidence of positive abnormal returns in 5 out of 8 benchmark indices, consistent with the portfolio rebalancing mechanism. When considering the launch period, we find positive abnormal returns in the German index (DAX30) and negative variations for both Spanish (IBEX35) and French (CAC40) indices. Furthermore, we suggest that the benchmark indices seem to react differently, depending on the country exposures to the program, for both announcement and launch periods.

Date of Award	9 May 2017
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Joni Kokkonen (Supervisor)