Logo do repositório

Percorrer por autor "Datta, Arya"

A mostrar 1 - 1 de 1
  • Exploring the effects of ECBs unconventional monetary policy announcements on European stock markets
    Publication . Datta, Arya; Soares, Carla Sofia Caeiro
    This paper conducts an event-study analysis to investigate the relationship between unconventional monetary policy announcements by the ECB and corresponding stock returns in the EMU, furthermore, it also postulates a second hypothesis to ascertain whether this relationship differs for firms listed amongst exchanges in Northern region of the EU name Germany, France and The Netherlands with their Southern Counterparts in the EMU, namely Italy, Portugal and Spain between 2006 and 2015. 10-year Government bond yields for Italy and Germany are used to calculate the surprise coefficient, while the returns are calculated from the return’s indices of the firms on the CAC, PSI, IBEX, DAX, AEX, and MIB30. The significance of the variations of the Returns are tested with Wilcoxon and GRANK tests (Non- Parametric) for AARs and CAARs respectively. The results suggest that there is a relationship between an unconventional monetary policy announcement and stock returns. The results also indicate that this relationship differs for Northern and Southern European firms. The Average Abnormal Returns (AARs) and Cumulative Average Abnormal Returns (CAARs) indicate opposite movement of stock returns in most cases. Finally, an event study analysis is also conducted on 6 portfolios of Europe wide firms segregated through an intersection of firm size and market capitalisation, the results of which do not show enough evidence to claim substantive inference.
    2020-01-31Dissertação de mestrado Acesso aberto Ver mais