The Relationship Between Money Supply and Stock Return, Before and After Quantitative Easing Policy

DOI

10.2991/978-94-6463-076-3_5How to use a DOI?

Keywords

Money Supply; Stock Return; Quantitative Easing

Abstract

This study uses the vector autoregressive model to examine the relationship between money supply and stock return, before and after the quantitative easing (QE) policy of the United States. The following results are obtained. (1) In Taiwan, the relationship between money supply and stock returns was insignificant before QE but became significant after QE, and the relationship is a positive correlation. (2) In the United States, the relationship between money supply and stock return was insignificant before and after QE. (3) The stock returns between the United States and Taiwan were significantly correlated before and after QE. (4) In the United States, the stock returns had a causal relationship with its money supply before and after QE. (5) In Taiwan, the stock returns had a causal relationship with its money supply before QE, but after QE, the causal relationship doesn’t exist. (6) Before and after QE, Taiwan’s stock returns had a causal relationship with the United States’ stock returns. (7) Before QE, the United States’ money supply and Taiwan’s money supply exhibited a two-way causal relationship, but after QE, the causal relationship ceased to exist.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yung-Shun Tsai
AU  - Chun-Ping Chang
AU  - Shyh-Weir Tzang
PY  - 2022
DA  - 2022/12/12
TI  - The Relationship Between Money Supply and Stock Return, Before and After Quantitative Easing Policy
BT  - Proceedings of the 4th Asia Pacific Management Research Conference (APMRC 2022)
PB  - Atlantis Press
SP  - 63
EP  - 79
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-076-3_5
DO  - 10.2991/978-94-6463-076-3_5
ID  - Tsai2022
ER  -