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Title: The effects of quantitative easing on the integration of UK capital markets
Authors: Steeley, JM
Keywords: Quantitative Easing;Integration;Gilts;UK Bonds;UK stocks;Dynamic correlation
Issue Date: 24-Aug-2015
Citation: European Journal of Finance, 2017, 23 (11), pp. 999 - 1024
Abstract: © 2015 Informa UK Limited, trading as Taylor & Francis Group. We examine the effects of quantitative easing (QE) on the volatility of and correlation between stocks, short-term bonds and long-term bonds in the UK. Using a multivariate dynamic conditional correlation generalised autoregressive conditional heteroscedasticity model, we find that volatility in each of the markets experiences a significant increase during the financial crisis that is reversed during the first phase of QE. We find limited effects of the specific occurrence or intensity of QE activity on either the volatility or correlations for these asset classes, but some evidence that volatility persistence experienced temporary shifts during the sample period. We find short-term variability in the correlations between the markets during the crisis and QE periods, but cannot reject the hypothesis that correlations were constant throughout the sample period.
ISSN: 1351-847X
Appears in Collections:Dept of Economics and Finance Research Papers

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