Artikel
The ECB's 2019 Liquidity Stress Test: An Event Study Evaluating the Impact on Owners and Creditors
The liquidity stress test (LiST) 2019 by the European Central Bank (ECB) examines the liquidity situation of banks, which is novel at the European level. Therefore, a well-founded empirical analysis is necessary to derive implications for the capital market. This paper investigates the impact on stock returns and credit default swap (CDS) spread changes of the participating banks using an event study methodology. This approach allows for conclusions about the entire capital market. A major problem with the sample, event clustering, is addressed with appropriate test statistics. The paper provides evidence of the absence of a capital market reaction, which could be the goal of supervisors, namely, being able to assess the banking sector and providing general information without triggering panic.
- Language
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Englisch
- Bibliographic citation
-
Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 54 ; Year: 2021 ; Issue: 2 ; Pages: 223-263
- Classification
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Wirtschaft
Financial Crises
Information and Market Efficiency; Event Studies; Insider Trading
Financial Institutions and Services: Government Policy and Regulation
- Subject
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Liquidity Stress Test 2019
Liquidity Risk
Event Study
ECB Stress Testing
European Banking Sector
- Event
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Geistige Schöpfung
- (who)
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Börner, Christoph J.
Krettek, Jonas
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
-
2021
- DOI
-
doi:10.3790/ccm.54.2.223
- Last update
- 10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Börner, Christoph J.
- Krettek, Jonas
- Duncker & Humblot
Time of origin
- 2021
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