Proceedings of the 4th Asia Pacific Management Research Conference (APMRC 2022)

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

Authors
Yung-Shun Tsai1, Chun-Ping Chang1, *, Shyh-Weir Tzang1
1Department of Finance, Asia University, Taichung, Taiwan
*Corresponding author. Email: l2space@hotmail.com
Corresponding Author
Chun-Ping Chang
Available Online 12 December 2022.
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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Volume Title
Proceedings of the 4th Asia Pacific Management Research Conference (APMRC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
12 December 2022
ISBN
978-94-6463-076-3
ISSN
2352-5428
DOI
10.2991/978-94-6463-076-3_5How to use a DOI?
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.

Cite this article

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  -