Mennyiségi lazítás hatása az amerikai szektorhozamokra
DOI:
https://doi.org/10.35551/PFQ_2023_4_1Kulcsszavak:
eseményelemzés, központi bankok eszköztára, tőkepiacok és makroökonómia, információ és piaci hatékonyság, G14, E44, E58Absztrakt
Ebben a tanulmányban eseményelemzés segítségével azt vizsgáltuk meg, hogy a mennyiségi lazítás bejelentésekor megfigyelhető-e abnormális hozam az amerikai szektorhozamok esetében. Arra a kérdésre kerestük a választ, hogy az eszközvásárlási program következtében a gazdaságba juttatott pénzmennyiség mely szektorokban csapódott le. Emellett, mivel a programot alapvetően a gazdaság stabilizálása érdekében veti be a jegybank, a szektorokra gyakorolt hatásának vizsgálata iránymutatást adhat abban, hogy melyek azok a szegmensek, amelyek negatívan reagáltak, így további jegybanki, vagy állami beavatkozást igényelhetnek. Eredményeink során egyes szektorok esetében konzisztenciát fedeztünk fel mind a négy program esetében. Az S&P 500 szektorindexei vizsgálata során a pénzügyi szektornál meglepő módon nem voltak szignifikáns eredmények, míg egészségügyi szektor, a diszkrecionális és általános fogyasztási cikkeknél mind a 4 bejelentésnél ugyanúgy reagáltak a szektorindexben szereplő részvények.
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