| Title |
Komerciniu bankų akcijų portfelio sudarymo kiekybinio skatinimo sąlygomis tyrimas / |
| Translation of Title |
Research on formation of investment portfolio from commercial banks' stocks in market affected by quantitative easing. |
| Authors |
Augustis, Justas |
| Full Text |
|
| Pages |
193 |
| Keywords [eng] |
effective portfolio ; quatitative easing ; monetary policy ; commercial banks ; Black-Litterman |
| Abstract [eng] |
SUMMARY Central banks are very important for the economy. These institutions control banking and financial systems. Central banks can have tremendous impact on the economy when various monetary actions are applied. Quantitative easing is a monetary action which is not very common. Such action is usually taken when times are hard. It is widely known that this tool can deliver a huge boost to various aspects of the economy. Relevance. Lately it has become a very common practice to compare various quatitative easing programs, implemented by various central banks. Scientists usually tend to do researches on impacts made by change of interest rates and expectations. Major portion of existing papers on stock prices of commercial banks usually approach this problem through channels other than quantitative easing. Existing researches do not fully cover the issue of shortage of investment portfolio formation methods during quantitative easing periods therefore is a demand for such research.. Employing links between quantitative easing and stock prices of commercial banks offers a possibility to form a portfolio which would deliver huge profit. The main object of the research is the influence of quantitative easing on commercial banks’ stock prices. The major goal of this thesis is to form an effective portfolio from commercial banks’ stocks in market affected by quantitative easing. Tasks. 1. Perform analysis on monetary policy’s tools while concentrating on quantitative easing in order to identify it’s effects on commercial banks’ activities; 2. Unveil necessity, principles and methods of effective commercial banks’ equity portfolio; 3. Apply Granger causality test and statistical analysis in order to create commercial banks’ selection criterias and apply them to select stocks of commercial banks for portfolio formation based on Black-Litterman method; 4. Form effective commercial banks’ equity porfolio's creation method in market affected by quantitative easing and test it in US market. This researches main results can be summarized by stating that appliance of Granger causality test is not advisable for portfolio formation, meanwhile, determination coefficients appliance is somewhat useful yet additional gains are not significant. However, appliance of both Granger causality test and determination coefficient delivered the best performing portfolios. Porfolio formed on basis of both tests was very successful and lead to a great lead over market’s benchmark in terms of profit. It can also be noted that incorporation of quantitative easing data were even more successful as suggested very high returns. Portfolios with no short selling option were created also and they suggest a better balance of return/risk compared to previously mentioned portfolios. Porfolio formation techniques described in this thesis are can deliver high profits in long term while it is not advisable to expect large profit compared to market while making a short term investment. |
| Dissertation Institution |
Kauno technologijos universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2017 |
