Purpose The purpose of this paper is to analyze if the unconventional monetary policy, known as quantitative easing (QE) practiced by central banks in the USA, the UK, and Japan was effective to increase the market share after subprime crisis. Design/methodology/approach In order to analyze the effect of the QE on the stock markets of the USA, the UK, and Japan, the authors use an ARDL model to find the long-run relationship among the variables. Findings The findings denote that the QE implemented by the central banks in the USA, Japan, and the UK had a positive impact on their stock markets. Originality/value The results of the paper give some new insights about the conduction of monetary policy when the interest rates are close to zero.