摘要：This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.
