The Dynamic Effects of Quantitative Easing on Stock Price: Evidence from Asian Emerging Markets, 2001-2016

International Review of Economics and Finance, 49 May 2017: 548–567

21 Pages Posted: 24 Jun 2020

See all articles by Tatsuyoshi Miyakoshi

Tatsuyoshi Miyakoshi

Osaka University

Junji Shimada

Aoyama Gakuin University - School of Business

Kui-Wai Li

Munk School of Global Affairs, University of Toronto

Date Written: May 2017

Abstract

This empirical paper examines the impact of monetary policy of the United States, European Union and Japan on the stock prices of eight Asian Emerging Markets (AEMs) during the different quantitative easing (QE) policies in 2001-2016. Five VAR models are constructed to incorporate different scenarios. The empirical results show that the QE policy has increased the stock prices of the AEMs, and their stock price inflation is consistent with “carry trade”. As the main driver of stock price inflation in the AEMs was Japan before 2008 and US after 2008, the paper concludes that financial integration and interest differentials played an important role in the transmission of monetary policy.

Keywords: Advanced countries; Quantitative Easing; Asian stock markets

JEL Classification: G01; G12; O16

Suggested Citation

Miyakoshi, Tatsuyoshi and Shimada, Junji and Li, Kui-Wai, The Dynamic Effects of Quantitative Easing on Stock Price: Evidence from Asian Emerging Markets, 2001-2016 (May 2017). International Review of Economics and Finance, 49 May 2017: 548–567, Available at SSRN: https://ssrn.com/abstract=3616974

Tatsuyoshi Miyakoshi

Osaka University ( email )

1-1 Yamadaoka
Suita
Osaka, 565-0871
Japan

Junji Shimada

Aoyama Gakuin University - School of Business

4-4-25 Shibuya, Shibuya-ku
Tokyo, 150-8366
Japan

Kui-Wai Li (Contact Author)

Munk School of Global Affairs, University of Toronto ( email )

Toronto
Canada

HOME PAGE: http://https://kw-consultancy.com/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
36
Abstract Views
257
PlumX Metrics