Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices
Department of Economics, University of Thessaly, Volos P.C. 38333, Greece
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J. Risk Financial Manag. 2019, 12(2), 57; https://doi.org/10.3390/jrfm12020057
Received: 12 March 2019
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Revised: 26 March 2019
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Accepted: 1 April 2019
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Published: 6 April 2019
(This article belongs to the Section Applied Economics and Finance)
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.
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Keywords:
unconventional monetary policy; stock indices; Africa; Middle East
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MDPI and ACS Style
Papadamou, S.; Kyriazis, N.A.; Tzeremes, P.G. Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices. J. Risk Financial Manag. 2019, 12, 57. https://doi.org/10.3390/jrfm12020057
AMA Style
Papadamou S, Kyriazis NA, Tzeremes PG. Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices. Journal of Risk and Financial Management. 2019; 12(2):57. https://doi.org/10.3390/jrfm12020057
Chicago/Turabian StylePapadamou, Stephanos, Nikolaos A. Kyriazis, and Panayiotis G. Tzeremes. 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices" Journal of Risk and Financial Management 12, no. 2: 57. https://doi.org/10.3390/jrfm12020057
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