Effect of Quantitative Easing on the US Stock Market During the COVID-19 Pandemic

• Název práce v češtině: Vliv kvantitativního uvolnění na americký akciový trh během pandemie COVID-19
• Název v anglickém jazyce: Effect of Quantitative Easing on the US Stock Market During the COVID-19 Pandemic
• Akademický rok vypsání: 2019/2020
• Typ práce: bakalářská práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: PhDr. František Čech, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 07.07.2020
• Datum zadání: 07.07.2020
• Datum a čas obhajoby: 09.06.2021 09:00
• Datum odevzdání elektronické podoby: 03.05.2021
• Datum proběhlé obhajoby: 09.06.2021
• Oponenti: Mgr. Hana Džmuráňová, Ph.D.

Seznam odborné literatury

Brooks, C. (2019). Introductory econometrics for finance. Cambridge university press.
Fawley, B. W., & Neely, C. J. (2013). Four stories of quantitative easing. Federal Reserve Bank of St. Louis Review, 95(1), 51-88.
Joyce, M., Lasaosa, A., Stevens, I., & Tong, M. (2010). The financial market impact of quantitative easing.
Schwert, G. W. (2011). Stock volatility during the recent financial crisis. European Financial Management, 17(5), 789-805.
Tsay, R. S. (2010). Principal Component Analysis and Factor Models. Analysis of Financial Time Series. 3rd ed. Hoboken, New Jersey: John Wiley & Sons, 467-504.

Předběžná náplň práce v anglickém jazyce

Research question and motivation
Quantitative easing (QE) is a rare tool used when central banks reach zero-bound interest rates on short-term rates. In the past, there were many concerns about the consequences of zero-bound interest rates dating at least to Keynes (Fawley and Neely, 2013), but economical events forced some dominant economies like Japan or the USA to reach the zero bound interest rates. Pushing them to turn to more unconventional monetary policy tools with one of them being quantitative easing (QE). I find this powerful and uncommon monetary policy more than fascinating and that is why I would like to conduct deeper research and connect it with my passion for the stock market.

I will study the effects of quantitative easing on the US stock market during the COVID-19 pandemic using different approaches. For example, by comparing the effects that QE had on the US stock markets during the 2008 financial crisis with today’s effects of FED’s QE, making the comparison interesting because the 2008 crisis was internal while today’s crisis is external. I will also try to study the effects of the QE announcement itself and differing it from the actual easing.

Contribution
Thanks to QE being a very special and rare tool of the monetary policy there isn’t as much information about it as could be the case in different topics. The academic coverage of the effects of QE on the US stock market during the pandemic is very limited thanks to the short time frame, giving my topic the floor to find as many interesting data as possible. I expect to find a very positive impact of the QE on the US stock market.

Methodology
I will use freely available financial market data from the internet (yahoo.finance.com, investing.com, etc.) and choose a basket of stocks and analyze them through a variety of financial econometric models. I will analyze time series data and use the ARMA-GARCH model to measure volatility or the GARCH model to interpret dependence between assets.

Outline
Introduction
1) What makes my topic appealing?
2) Overview of existing knowledge
3) My augmentation to existing research
4) Organization
Literature review and hypotheses
1) Literature on quantitative easing and stock market analysis
2) Evidence of effects of monetary policies on the stock market
3) What hypothesis will be tested
4) Motivation and reason of the hypotheses
Methodological Approach
1) Description of data and methods used
2) My execution of the analysis
Empirical Results
1) Interpretation of results
2) Discussion of results
Conclusion