Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity
Result description
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 600performance sensitivitymean reversioninterest ratesCOVID-19central banks
The result's identifiers
Result code in IS VaVaI
Result on the web
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity
Original language description
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.
Czech name
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Czech description
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Classification
Type
Jost - Miscellaneous article in a specialist periodical
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
ACTA VŠFS
ISSN
1802-792X
e-ISSN
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Volume of the periodical
17
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
20
Pages from-to
125-144
UT code for WoS article
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EID of the result in the Scopus database
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Basic information
Result type
Jost - Miscellaneous article in a specialist periodical
OECD FORD
Economics and Business
Year of implementation
2023