การศึกษาผลกระทบของมาตรการ Quantitative Easing (QE) ของธนาคารกลางสหรัฐที่มีผลต่อตลาดหลักทรัพย์และอัตราแลกเปลี่ยนในประเทศกลุ่ม Asian Emerging Market / ไตรรัตน์ พุทธรักษา = The study of Fed’s Quantitative Easing (QE) effect on stock markets and exchange rates in Asian emerging market countries / Trirat Puttaraksa
The purpose of this independent study is to investigate the effects of Quantitative Easing (QE) Policy announced by U.S. Federal Reserve (Fed) on Asian Emerging Market Countries including China, India, Indonesia, Malaysia, Philippines and Thailand. More specifically, this study focuses on the effects of QE on returns and volatilities of stock market indexes and currency values, and the relationship between stock market indexes and exchange rates. Daily stock index and exchange rate data from August 2005 to December 2011 are used in this study. The result shows that stock index returns in most countries increased significantly during the QE1 period, except for China and India. In addition, QE also caused correlation between stock indexes and exchange rates to increase during the QE1 period in most countries except for China which implemented currency intervention during the period. However, QE did not impact stock market volatility significantly, but instead caused exchange rate volatility to increase significantly in some countries. In conclusion, I found that the implementation of monetary policy in the US has observable impacts on financial markets of Asian Emerging Markets. However, the degree of the impact varies, probably due to differences policies they used in response.
