The impact of the ECB banking supervision announcements on the EU stock market

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 112

Classification and Topics

• Classification: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Subject: Banking Supervision ; ECB ; GARCH ; Stock Market

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baglioni, Angelo ; Monticini, Andrea ; Peel, David
• Event: Veröffentlichung
• (who): Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE)
• (where): Milano
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/264300
• Last update: 10.03.2025, 11:43 AM CET