Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries

Mercédesz Mészáros, Dóra Sallai and Gábor Dávid Kiss
Additional contact information
Mercédesz Mészáros: Faculty of Economics and Business Administration, University of Szeged, Hungary
Dóra Sallai: Faculty of Economics and Business Administration, University of Szeged, Hungary

Econometric Research in Finance, 2021, vol. 6, issue 1, 21-44

Abstract: Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression.

Keywords: Volatility; Stock Market; Unconventional Monetary Policy; Quantile Panel Regression (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.erfin.org/journal/index.php/erfin/article/view/139/54 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sgh:erfinj:v:6:y:2021:i:1:p:21-44

DOI: 10.2478/erfin-2021-0002

Access Statistics for this article

Econometric Research in Finance is currently edited by Dobromił Serwa and Piotr Wdowiński

More articles in Econometric Research in Finance from SGH Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Dobromił Serwa ().