This study assesses the performance of the quantitative easing policy implemented by the United States (US) on the stock markets with a framework of structure break. The empirical results show that the business cycle or the value of gross domestic production has a negative impact on the stock markets for most of the countries even if both gross domestic production and many stock prices are procyclical. Moreover, the purchases of US Treasury securities and mortgage‐backed securities respectively affect the stock markets synchronously and laggardly. Notably, they both have a positive impact on the stock markets during the study period. Finally, during the after structure break period, the volatility can be easily affected by bad news, and the investors have the lower profit or even the greater loss and bear the greater risk and variation of risk owing to the global financial crisis caused by the US. On the basis of the above findings, some policy implications are offered in this study.