Template-Type: ReDIF-Paper 1.0


Author-Name: Angelo Baglioni
Author-X-Name-First: Angelo
Author-X-Name-Last: Baglioni
Author-Email: angelo.baglioni@unicatt.it
Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore


Author-Name: Andrea Monticini
Author-X-Name-First: Andrea
Author-X-Name-Last: Monticini
Author-Email: andrea.monticini@unicatt.it
Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore

Author-Name: David Peel
Author-X-Name-First: David
Author-X-Name-Last: Peel


Title: The Impact of the ECB Banking Supervision Announcements on the EU Stock Market


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. 
Length: 14
Creation-Date: 2021-11
File-URL: http://dipartimenti.unicatt.it/economia-finanza-def112.pdf
File-Format: Application/pdf
File-Function: First version, 2021
Number: def112
Classification-JEL: G21, G28. 
Keywords: Banking Supervision, ECB, GARCH, Stock Market.
Handle: RePEc:ctc:serie1:def112