The ECB’s 2019 Liquidity Stress Test: An Event Study Evaluating the Impact on Owners and Creditors

2021 ◽  
Vol 54 (2) ◽  
pp. 223-263
Author(s):  
Christoph J. Börner ◽  
Jonas Krettek
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Capital Market ◽  
Banking Sector ◽  
Stress Test ◽  
Test List ◽  
Credit Default Swap ◽  
General Information ◽  
Event Clustering ◽  
The Impact

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.

scholarly journals The Effect of China-U.S. Trade Dispute on Chinese Stock Market: New Evidence from the Event Study Analysis

2020 ◽  
pp. 105-117
Author(s):  
Fuzhong Chen ◽  
Di Yu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Banking Sector ◽  
Abnormal Returns ◽  
The United States ◽  
Chinese Stock Market ◽  
Study Analysis ◽  
Trade Dispute ◽  
The Impact

In 2018, the China-U.S. trade dispute started, which brings heterogeneous impacts on the global economy. The purpose of this paper is to examine the effects of tariffs targeting Chinese exporting commodities imposed by the U.S. on the Chinese stock market by utilizing the event study analysis. 10 industries' stock returns between Jan. 3rd , 2017, and Apr. 3rd , 2020 were selected as the research objectives from the WIND database, according to the Chinese Shen Wan's classification standard. Results based on event study analysis show that: First, the China-U.S. trade dispute causes significant fluctuations to Chinese stock returns. Second, the impacts of the trade dispute are mainly negative, showing by the negative cumulative average abnormal returns in the export-oriented sectors when they are encountered with new tariffs imposed by the United States. However, the effects can also be positive because of the various situations of targeted industries, and the defensive measures taken by China. Third, the trade dispute also affects investors' views on the macro economy, in which the impact on the real economy can be transferred to other non-export-oriented industries, such as the banking sector. This study provides empirical evidence for China's policymakers to take measures in strengthening the independence of innovation, protecting intellectual property rights. Investors also need to equip themselves with more financial knowledge.

scholarly journals The impact of euro-integration processes on strengthening competitiveness of the banking sector

2021 ◽  
pp. 6-12
Author(s):  
I. Aloshyna
Keyword(s):  
Economic Integration ◽  
Capital Market ◽  
Banking Sector ◽  
Positive Impact ◽  
International Competitiveness ◽  
Banking Supervision ◽  
Euro Zone ◽  
Cross Border ◽  
Banking Institutions ◽  
The Impact

The study considers the essence and effects of economic integration on the Euro zone banking sector. The study explains that the intensification of economic integration of European countries provides a competitive environment for banks. The results found that the integration at the macro level increases the international competitiveness of the banking sector by creating a more transparent single secure market and increasing its capacity through the application of common rules and administrative standards for banking supervision and resolution, and on the meso- and micro levels increases the international competitiveness of banking institutions by increasing efficiency and profitability by increasing the volume of cross-border banking activities within the Euro zone. The conclusions suggest the main instruments of ECB’s monetary policy have a positive impact on improving the competitiveness of the banking sector by removing barriers to cross-border competition. Such instruments helped to create a large and transparent capital market, increase banking sector competitiveness by intensifying competition and efficiency of banks.

scholarly journals How Does Financial Sector Reacts After Special Events? An Event Study Analysis of Tunisia after the Revolution of 2011.

2014 ◽  
Vol 4 (2) ◽  
pp. 584-599
Author(s):  
Amira KADDOUR ◽  
Mourad ZMAMI
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Event Study ◽  
Banking Sector ◽  
Financial Sector ◽  
Study Analysis ◽  
Special Events ◽  
Egarch Model ◽  
The Exchange Rate ◽  
The Impact

Using an event study analysis, we aim to investigate the impact of political, economic, social and terrorism events, on the Tunisian financial sector, over the period of the Tunisian Revolution; from (12)2010 to (04)2014. Based on a daily data analysis using three selected variables ; Sectoral index of performance of Tunisian banks ,Index of Tunisian stock market and the exchange rate Euro/ Dinar,  the EGARCH model results have highlighted that general events decrease the return of our variables, and increase their volatility. More, results have shown that stock market is very sensitive to political and terrorism events, bad economic events increase the volatility of the exchange rate, and decrease the performance of banking sector. Political events remain the more important component, they affect negatively all the endogenous variables; coefficients in the mean equation show an important decline in term of the return of banking sector ,the stock market and the exchange rate.

THE IMPACT OF TERRORISM ON TURKISH BANKS’ STOCKS AND CROSS-BANK VARIATION OF ABNORMAL RETURNS

2020 ◽  
Vol 20 (02) ◽  
pp. 2050011
Author(s):  
EDA ORHUN
Keyword(s):  
Regression Analysis ◽  
Event Study ◽  
Banking Sector ◽  
Terrorist Attack ◽  
Abnormal Returns ◽  
Income Level ◽  
The Other ◽  
Terrorist Attacks ◽  
Study Analysis ◽  
The Impact

This paper investigates the impact of the recent terrorist attacks on the Turkish banking sector. Specifically, an event study analysis is executed to estimate the abnormal returns of banks’ stocks in Turkey. According to the results, negative and significant abnormal returns were observed on the event dates of terrorist attacks, those of which especially occurred at international points and touristic places. The study continues with a regression analysis that looks into the cross-bank variation of abnormal returns by using important bank characteristics as predictors. The regression analysis exhibits that banks with higher leverage and larger size are prone to getting more negatively affected by the terrorist attack. On the other hand, banks with higher liquidity and higher income level are likely to have less negative abnormal returns.

scholarly journals Revised Malaysian Shariah Screening: Its Impact on Islamic Capital Market

2019 ◽  
Vol 10 (1) ◽  
pp. 17
Author(s):  
Fauzias Mat Nor ◽  
Amir Shaharuddin ◽  
Ainulashikin Marzuki ◽  
Nur Ainna Ramli
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Negative Impact ◽  
Advisory Council ◽  
Qualitative Assessment ◽  
Financial Ratio ◽  
Share Prices ◽  
Fund Managers ◽  
Event Study Method ◽  
The Impact

Shariah Advisory Council (SAC) of Securities Commission (SC) formulated a new revised Shariah screening methodology of two-tier quantitative assessment for activity-based screening benchmarks and the newly- formulated financial ratio benchmarks, while the qualitative assessment remains the same. The revised methodology is an effort to expand the Islamic capital market’s (ICM) international reach which is in line with the SC objectives. The objective of this paper is to examine the impact of the recent announcement of new changes in the Shariah screening methodology by the Malaysian Securities Commission on the share prices of the affected companies and Islamic capital market. We use an event study method to see if the changes have a significant reaction from the market, specifically, from investors and fund managers. On the announcement date, that is, on 29 November 2013, 158 non-Shariah compliant stocks were removed from the previous list of Shariah compliant stock that was issued in May 2013 and 16 stocks were added to the approved list. Out of 158 non-Shariah compliant stocks, only 137 stocks are available for the analysis. For the new Shariah compliant stocks, only 16 stocks are included in the sample. We find an immediate but short lived negative impact on the stock returns towards the deletion, but none towards the addition of new stocks to the Shariah index. However, the announcement has no significant impact on the overall return of the FBM Emas Shariah index.

scholarly journals Can Rumor Clarification Eliminate the Effects of Rumors?

2020 ◽  
Vol 11 (1) ◽  
pp. 48-62 ◽  
Author(s):  
Peinan Ji ◽  
Xiangbin Yan ◽  
Guang Yu
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Listed Companies ◽  
Cumulative Abnormal Return ◽  
Negative Sample ◽  
The Impact

This article analyzes the effects of rumor and official rumor clarification on Chinese stock returns under different rumor conditions using an event study. The results are based on a sample of 832 rumor clarification announcements from China Listed Companies spanning the period of 2015 to 2017. The results show that the average cumulative abnormal return after the rumor event is significantly positive in the positive rumor sample and neutral sample, and significantly negative in the negative rumor sample. After the clarification announcements, we find the announcements effective for the positive and neutral rumor sample, but not in the case of the negative sample. However, by comparing different clarification times of each sample, we find that the earlier the clarification time is, the smaller the impact on the companies in positive and negative rumor examples.

The Impact of Government Intervention in Banks on Corporate Borrowers’ Stock Returns

2013 ◽  
Vol 48 (5) ◽  
pp. 1635-1662 ◽  
Author(s):  
Lars Norden ◽  
Peter Roosenboom ◽  
Teng Wang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Banking Sector ◽  
Positive Impact ◽  
Support Programs ◽  
Government Interventions ◽  
Stock Market Performance ◽  
The Impact ◽  
The U.S

AbstractWe investigate whether and how government interventions in the U.S. banking sector influence the stock market performance of corporate borrowers during the financial crisis of 2007–2009. We measure firms’ exposures to government interventions with an intervention score that is based on combined information on the firms’ structure of bank relationships and their banks’ participation in government capital support programs. We find that government capital infusions in banks have a significantly positive impact on borrowing firms’ stock returns. The effect is more pronounced for riskier and bank-dependent firms and for those that borrow from banks that are less capitalized and smaller.

scholarly journals THE COVID-19 PANDEMIC AND INDIAN PHARMACEUTICAL COMPANIES: AN EVENT STUDY ANALYSIS

2021 ◽  
Vol 24 ◽  
pp. 1-14
Author(s):  
Chinmaya Behera ◽  
Badri Narayan Rath
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Alternative Model ◽  
Pharmaceutical Companies ◽  
Study Analysis ◽  
Pharmaceutical Sector ◽  
Firm Level ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Although there is a plethora of studies which examine the impact of the COVID-19 pandemic on India’s financial sector, we contribute by investigating the effect of the ongoing COVID-19 pandemic on stock returns of Indian pharmaceutical companies. By employing an event study methodology, our results indicate that the average returns of the pharmaceutical sector are positive during the COVID-19 phase although mixed evidence is found at the firm level. This finding is also robust to alternative model specifications.    

scholarly journals MODEL OF ASSESSMENT OF THE IMPACT OF MAIN CHALLENGES OF MODERNITY ON EMPLOYMENT IN BANKING SECTOR ACCORDING TO STRESS TESTING METHODOLOGY

2021 ◽  
pp. 214-227
Author(s):  
O.O. Domuz ◽  
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Extreme Values ◽  
Stress Test ◽  
Banking System ◽  
Macroeconomic Factors ◽  
Criteria And Indicators ◽  
Banking Institutions ◽  
System 2 ◽  
The Impact

According to results of the study, globalization factors that require specific approaches to analysis in the context of changes and transformations that occur in socio-economic sphere of banking system; A model of stress testing to assess the impact of global factors on changes in the level and structure of employment of employees of banking institutions, based on the use of tools to find extreme values ​​at the level of individual banking institutions and the banking system as a whole are showen; In order to test the model, the stages of its application are formed: 1. selection of criteria for stress testing of changes in the bank's employment system; 2. the choice of indicators that characterize changes in the level and structure of employment of a bank; 3. conducting stress testing of criteria and indicators based on the use of tools for detecting extreme quantities; 4. construction of a stress test map by periods; 5. comparison of stress test maps of impact criteria and indicators, analysis of common sensitivity points in order to identify the causes and degree of influence of global factors; Within the framework of the model, special attention is paid to analytical methods to determine the impact and sensitivity of the employment response to trends and changes in the macro- and microeconomic environment; Using the method of determining extreme values, the existence of a relationship between the criteria that characterize the financial and economic performance of national banks and the degree of transformational changes in bank employment; As a result of the construction of stress test maps, it was determined that the criteria of financial and economic activity of banks and employment indicators in banking sector are highly sensitive to crises in respective periods, but respond differently to macroeconomic factors of different periods; The proposals on the expediency and necessity of using the model of stress testing in national banking system are formed.

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