Abstract
This empirical paper examines the impact of monetary policy of the United States, European Union and Japan on the stock prices of eight Asian Emerging Markets (AEMs) during the different quantitative easing (QE) policies in 2001–2016. Five VAR models are constructed to incorporate different scenarios. The empirical results show that the QE policy has increased the stock prices of the AEMs, and their stock price inflation is consistent with “carry trade”. As the main driver of stock price inflation in the AEMs was Japan before 2008 and US after 2008, the paper concludes that financial integration and interest differentials played an important role in the transmission of monetary policy.
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