TY - UNPB
T1 - The Impact of the ECB Banking Supervision Announcements on the Stock Market
AU - Baglioni, Angelo Stefano
AU - Monticini, Andrea
AU - Peel, David
PY - 2020
Y1 - 2020
N2 - We study the impact of ECB’s supervisory announcements on the Bank Stock index,
from 2013 through 2017. Our evidence shows that the news, related to supervisory
actions, do have highly significant effects on the market price of banks, contributing
to the volatility of the Bank Stock Index for Europe and Italy. Most announcements
signal the need to raise more regulatory capital and lead to negative returns in the
stock market, thus increasing the cost of raising new capital. Our study is related to
previous ones (by Bernanke and Kuttner) focusing on the impact of monetary policy
announcements on the stock exchange.
AB - We study the impact of ECB’s supervisory announcements on the Bank Stock index,
from 2013 through 2017. Our evidence shows that the news, related to supervisory
actions, do have highly significant effects on the market price of banks, contributing
to the volatility of the Bank Stock Index for Europe and Italy. Most announcements
signal the need to raise more regulatory capital and lead to negative returns in the
stock market, thus increasing the cost of raising new capital. Our study is related to
previous ones (by Bernanke and Kuttner) focusing on the impact of monetary policy
announcements on the stock exchange.
KW - Banking supervision
KW - Banking supervision
UR - http://hdl.handle.net/10807/147008
M3 - Working paper
BT - The Impact of the ECB Banking Supervision Announcements on the Stock Market
ER -