| 摘要(英) |
Since researchers have not treated Buffett Indicator in much detail, an objective of this study is to investigate measurement capability of Buffett Indicator on both S&P500 index and its annualized return with the role of quantitative easing (QE). With Buffett Indicator, S&P500 index and its annualized return, Federal Reserve’s debt, and federal funding rate being the research variables, we used time series analysis, conducting single-root test, co-integration test, and Granger causality test. All analyses were carried out using EViews, version 11. The sample was divided into the two groups: "Ante-QE period" (1984 Q1-2008 Q3) and "Post-QE period" (2008 Q4-2021 Q1), and comparisons between the two groups were made using analysis of empirical results. The main findings of this study indicate that: first, with the absence of QE, it exists a long-term negative relationship between Buffett Indicator and S&P500 index annual return, and the former has the ability to predict and explain the latter. Second, S&P500 index continues hitting a historical record high with the role of QE and extremely low interest rates; however, at the same time, Buffett Indicator loses the predictive power to explain S&P500 index and its annual return. Lastly, Buffett Indicator′s ability to predict the annualized return of the S&P500 index will be affected by the holding period (forecast horizon), and Buffett Indicator is suitable for a long-term return predictor. |
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