Effects of interest rate changes on the performance of technology stocks in the COVID-19 era - an event study

Abstract

This thesis examines the impact of interest rate changes on the stock perfor- mance of technology firms during the COVID-19 era, using an event study methodology. The research investigates the sensitivity of technology stocks, particularly those with high leverage, to monetary policy adjustments - partic- ularly in regard to changes in Fed Funds Effective Rate and Fed Funds Rate Futures. The study finds that technology firms in the NASDAQ 100 have on average higher returns around a change in interest rates than the broader mar- ket. The study also finds that stocks with higher leverage and price to book ratio react more negatively to changes in interest rates than other firms. JEL Classification C10, C12, F21, G14, L25, M2, O16 Keywords Interest rates, Technology Stocks, Event Study, COVID-19, Fed Fund Rates Title Effects of interest rate changes on the perfor- manceof technology stocksin theCOVID-19 era - an event study Abstrakt Tato práce zkoumá vliv změn úrokových sazeb na výkonnost akcií technolog- ických firem během období COVID-19 pomocí metodologie studie údálosti. Výzkum zkoumá citlivost technologických akcií, zejména těch s vysokou fi- nanční pákou, na úpravy měnové politiky - zejména s ohledem na změny efek- tivní sazby Fed Funds a Fed Funds Rate Futures. Studie zjišťuje, že tech-...

This thesis examines the impact of interest rate changes on the stock perfor- mance of technology firms during the COVID-19 era, using an event study methodology. The research investigates the sensitivity of technology stocks, particularly those with high leverage, to monetary policy adjustments - partic- ularly in regard to changes in Fed Funds Effective Rate and Fed Funds Rate Futures. The study finds that technology firms in the NASDAQ 100 have on average higher returns around a change in interest rates than the broader mar- ket. The study also finds that stocks with higher leverage and price to book ratio react more negatively to changes in interest rates than other firms. JEL Classification C10, C12, F21, G14, L25, M2, O16 Keywords Interest rates, Technology Stocks, Event Study, COVID-19, Fed Fund Rates Title Effects of interest rate changes on the perfor- manceof technology stocksin theCOVID-19 era - an event study Abstrakt Tato práce zkoumá vliv změn úrokových sazeb na výkonnost akcií technolog- ických firem během období COVID-19 pomocí metodologie studie údálosti. Výzkum zkoumá citlivost technologických akcií, zejména těch s vysokou fi- nanční pákou, na úpravy měnové politiky - zejména s ohledem na změny efek- tivní sazby Fed Funds a Fed Funds Rate Futures. Studie zjišťuje, že tech-...