The Impact of the ECB Banking Supervision Announcements on the Stock Market

Angelo Stefano Baglioni; Andrea Monticini; David Peel

The Impact of the ECB Banking Supervision Announcements on the Stock Market

Angelo Stefano Baglioni
, Andrea Monticini^*
, David Peel

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Working paper › Documento di lavoro

Abstract

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.

Lingua originale	Inglese
Numero di pagine	12
Stato di pubblicazione	Pubblicato - 2020

Keywords

Banking supervision

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AU - Peel, David

PY - 2020

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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

UR - http://hdl.handle.net/10807/147008

M3 - Working paper

BT - The Impact of the ECB Banking Supervision Announcements on the Stock Market

ER -

The Impact of the ECB Banking Supervision Announcements on the Stock Market

Abstract

Keywords

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