HÜTTEROTH, Alexander a Petr BUDINSKÝ. Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity. ACTA VŠFS. Prague: Vysoká škola finanční a správní, a.s., 2023, roč. 17, č. 2, s. 125-144. ISSN 1802-792X. Dostupné z: https://dx.doi.org/10.37355/acta-2023/2-02. |
Další formáty:
BibTeX
LaTeX
RIS
@article{10910, author = {Hütteroth, Alexander and Budinský, Petr}, article_location = {Prague}, article_number = {2}, doi = {http://dx.doi.org/10.37355/acta-2023/2-02}, keywords = {STOXX Europe 600; performance sensitivity; mean reversion; interest rates; COVID-19; central banks}, language = {eng}, issn = {1802-792X}, journal = {ACTA VŠFS}, title = {Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity}, url = {https://acta.vsfs.eu/pdf/acta-2023-2-02.pdf}, volume = {17}, year = {2023} }
TY - JOUR ID - 10910 AU - Hütteroth, Alexander - Budinský, Petr PY - 2023 TI - Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity JF - ACTA VŠFS VL - 17 IS - 2 SP - 125-144 EP - 125-144 PB - Vysoká škola finanční a správní, a.s. SN - 1802792X KW - STOXX Europe 600 KW - performance sensitivity KW - mean reversion KW - interest rates KW - COVID-19 KW - central banks UR - https://acta.vsfs.eu/pdf/acta-2023-2-02.pdf N2 - 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. ER -
HÜTTEROTH, Alexander a Petr BUDINSKÝ. Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity. \textit{ACTA VŠFS}. Prague: Vysoká škola finanční a správní, a.s., 2023, roč.~17, č.~2, s.~125-144. ISSN~1802-792X. Dostupné z: https://dx.doi.org/10.37355/acta-2023/2-02.
|