Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity

• Published in: Economic studies & analyses Vol. 17; no. 2; pp. 125 - 144
• Main Authors: Hütteroth, Alexander, Budinsky, Petr
• Format: Journal Article
• Language: English
• Published: Vysoká škola finanční a správní, a.s 29-12-2023; University of Finance and Administration
• Subjects: central banks; covid-19; Economy; interest rates; mean reversion; performance sensitivity; stoxx europe 600; mean reversion; performance sensitivity; COVID19; central banks; interest rates; STOXX Europe 600
• ISSN: 1802-792X; 1802-7946
• DOI: 10.37355/acta-2023/2-02

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 SP 500 is recommended.