Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing

Širůček, Martin and Galečka, Ondřej (2016): Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing. Published in: Forum Scientiae Oeconomia , Vol. 5, No. 1 (1 January 2017): pp. 5-18.

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, according 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 capitalisatuion and GDP. As „behaioural” indicator analyses of EPUI and VIX index was used. Empirical results were comfirmed by the „behaivoural”variables. Higher accuracy of results acquired the second empirical method, where the divisor was used.

• Item Type: MPRA Paper
• Language: English
• Keywords: quantitative easing, money supply, MZM, S&P 500, price bubble, policy uncertainty index
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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