Alternative evaluation of S&P 500 index in relation to quantitative easing

Martin  Širůček; Ondřej  Galečka

doi:10.23762/fso

Published : 2017-03-14

Vol. 5 No. 1 (2017)

Alternative evaluation of S&P 500 index in relation to quantitative easing

Martin Širůček

Ondřej Galečka

DOI: https://doi.org/10.23762/fso

Abstract

The paper focuses on the impact of money supply on the S&P 500 stock index. The main goal is by using selected indicators identify the bubble. That is meaning, accord-ing to the results bring to the investors recommendations what indicator they should to use for early identification of the price bubble. The paper deals with two „standard” indicator and one „behavioural”. The first use the rational price bubble variable and compare it with the standard deviation, the second one deals with the ratio market cap-italisation and GDP. As „behavioural” indicator analyses of EPUI and VIX index was used. Empirical results were con-firmed by the „behavioural” variables. Higher accuracy of results acquired the second empirical method, where the divisor was used.

Keywords:

quantitative easing, money supply, MZM, S&P 500, price bubble, policy uncertainty index

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Širůček, M. ., & Galečka, O. . (2017). Alternative evaluation of S&P 500 index in relation to quantitative easing. Forum Scientiae Oeconomia, 5(1), 5–18. https://doi.org/10.23762/fso

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Martin Širůček

sirucek@gmail.com

Affiliation:

Mendel University in Brno,Czech Republic Czechia

Bio Statement (e.g., department and rank)

Martin Širůček. Work at department of Finance at the Faculty of Business and Economics, Mendel University in Brno, Czech Republic. He focuses on financial and capital market, stock indexes and re-action of market on selected factors. His research is focused on stock bubbles in US and Japan and on the impact of mon-ey supply to stock bubbles.

Ondřej Galečka

sirucek@gmail.com

Affiliation:

Mendel University in Brno,Czech Republic Czechia

Bio Statement (e.g., department and rank)

Ondřej Galečka. Master ́s degree at Fac-ulty of Business and Economics, Men-del University in Brno, graduation 2016. Member of faculty team by CFA research challenge. Nowadays custody processing officer, KBC bank.