Effect of Quantitative Easing on ASEAN-5 Financial Markets

Pastpipatkul, Pathairat; Yamaka, Woraphon; Sriboonchitta, Songsak

doi:10.1007/978-3-319-27284-9_35

Cited by 9 publications

(3 citation statements)

References 2 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The COVID-19 pandemic and the QE stimulus package impacted stock markets around the world. Before the outbreak of COVID-19, the study of Pastpipatkul et al. (2016) found that the use of QE by the Fed had a significant effect on ASEAN financial markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The COVID-19 pandemic and the QE stimulus package impacted stock markets around the world. Before the outbreak of COVID-19, the study of Pastpipatkul et al (2016) found that the use of QE by the Fed had a significant effect on ASEAN financial markets. Zhang et al, (2020) found that the implementation of the unlimited QE program by the Fed has affected stock markets worldwide, causing a rebound in the stock markets affected by the COVID-19 pandemic.…”

Section: Ajeb 73mentioning

confidence: 99%

See 1 more Smart Citation

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

Puarattanaarunkorn,

Autchariyapanitkul,

Kiatmanaroch

2023

AJEB

View full text Add to dashboard Cite

PurposeUnlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock markets before and after unlimited QE announcements.Design/methodology/approachThe copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market data, on 6 ASEAN and 8 other countries outside the region. The data are divided into two periods to compare the differences in dependence.FindingsThe findings show changes in dependence among the volatility of daily returns in 14 stock markets during each period. After the unlimited QE announcement, the upper tail dependence became more apparent, while the role of the lower tail dependence was reduced. The minimum spanning tree can show the close relationships between stock markets, indicating changes in the connection network after the announcement.Originality/valueThis study allows the dependency to be compared between stock market volatility before and after the announcement of unlimited QE during the COVID-19 pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models to analyze and reveal the systemic network of the relationships.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Section: Ajeb 73mentioning

confidence: 99%

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

Puarattanaarunkorn,

Autchariyapanitkul,

Kiatmanaroch

2023

AJEB

View full text Add to dashboard Cite

show abstract

“…This will allow us to examine shorter-term inflation-hedging strategies. In addition, changing the order of variables in the MS-VAR system may change the results to be obtained [80]. It may be difficult to discuss the robustness of the results when the order is changed.…”

Section: Conclusion Policy Implication and Limitation And Future Rese...mentioning

confidence: 99%

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Phochanachan

Pirabun

Leurcharusmee

et al. 2022

Axioms

Self Cite

View full text Add to dashboard Cite

This study analyzes whether Bitcoin, gold, oil, and stock have the ability to hedge against inflation in high cryptocurrency adoption countries in the periods from January 2010 to March 2021. It is hypothesized that the assets behave differently and thereby respond differently to inflation in different market conditions. Therefore, we employ the Markov Switching Vector Autoregressive to examine these assets’ hedging ability against inflation in both stable and turbulent market regimes. Our main findings are threefold: We show that there exists a structural change and nonlinear relationship between the returns of hedging assets and inflation. Second, all assets can hedge against inflation more effectively in the short run than in the long run. We find that the inflation hedging ability of these assets are weak in the long run for both market regimes. We also find some evidence that the rigidity between the assets and inflation is relatively high in the stable regime. Third, according to the impulse response analysis, we also find that the responses of assets to inflation shock are heterogeneous across two market regimes.

show abstract

Frequency Domain Causality Analysis of Stock Market and Economic Activites in Vietnam

Thạch

Phuong

2018

Structural Changes and Their Econometric Modeling

View full text Add to dashboard Cite

Effect of Quantitative Easing on ASEAN-5 Financial Markets

Cited by 9 publications

References 2 publications

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Frequency Domain Causality Analysis of Stock Market and Economic Activites in Vietnam

Contact Info

Product

Resources

About