This paper analyses the effects of central bank interventions on the pricing of stock market indices. The study confirms that the large-scale purchases of government debt securities in response to the Great Recession and Covid-19 crises by the Fed, influence the pricing of equity markets via its effect on the pricing of treasury bonds. The study examines the effects of changes in the size of the Fed’s balance sheet in three intervention scenarios: during the 2008 – 2013, the 2020 – 2021 periods, and throughout. The results of this study show the impact of central bank interventions by index individually using the 3SLS for time series approach, while calculating the effects of these interventions on each index in a fund of funds setup using the panel data strategy. The results indicate that the pricing of small capitalization indices such as the Russell 2000 are more sensitive to central bank interventions than large capitalization indices such as the DJIA.

Program:

17:30 – 17:40 – opening speech

17:40 – 18:25 – presentation by Carlos J. Rincon, topic: “Equity Markets Pricing and Central Bank Interventions:  A Panel Data Approach”

18:25 – 18:55 – discussion

18:55 – 19:00 – Closing remarks: announcements of the next workshops

Carlos J. Rincon, HSE University, St Petersburg.