Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity

Alexander Hütteroth () and Petr Budinský ()
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Alexander Hütteroth: University of Finance and Administration
Petr Budinský: University of Finance and Administration

ACTA VSFS, 2023, vol. 17, issue 2, 125-144

Abstract: In 2022 European equity markets lost some of their value, led by high-growth sectors, which generally have a significantly higher growth rate. The prevailing academic opinion is that the European Central Bank's monetary policy during the COVID-19 pandemic is a key reason and the financial and the technology sectors are defined to be particularly sensitive to interest rates. In this context, a performance sensitivity analysis for the STOXX Euro 600 sectors on European Central Bank interest rates from 2020 to 2022 will be investigated based on the assumption of a significant interest rate sensitivity. The objective is achieved with a Pearson correlation and linear regression. The results confirm a correlation for the selected sectors, indicating a potential general sensitivity for the entire investigation period. On this basis, further research on sectors and variables such as inflation and a comparison with Fed interest rates and the S&P 500 is recommended.

Keywords: STOXX Europe 600; performance sensitivity; mean reversion; interest rates; COVID-19; central banks (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2023
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