Spillover effects of US QE and QE tapering on African and Middle Eastern stock indices

Artikel

In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). Weekly data covering the pre-quantitative easing (pre-QE) period, the three phases of QE, and the QE-tapering period were adopted. The methodologies employed here for detecting dual causality were as follows: classical, dynamic, and time-varying Granger causality tests. The results indicate that the Fed's non-conventional actions weakened the Fed's monetary policies' impact on the stock indices of these emerging countries. Interestingly, there is evidence that two African and three Middle Eastern countries-all different according to each of the specifications used in the methodology-were affected by the tapering of unconventional US monetary practices.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 2 ; Pages: 1-20 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: unconventional monetary policy ; stock indices ; Africa ; Middle East

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Papadamou, Stephanos ; Kyriazis, Nikolaos A. ; Tzeremes, Panayiotis G.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/jrfm12020057
• Handle: http://hdl.handle.net/10419/239000
• Last update: 10.03.2025, 11:42 AM CET