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

Author

Listed:
  • Angelo Baglioni

    (Università Cattolica del Sacro Cuore
    Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore)

  • Andrea Monticini

    (Università Cattolica del Sacro Cuore
    Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore)

  • David Peel

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.

Suggested Citation

  • Angelo Baglioni & Andrea Monticini & David Peel, 2021. "The Impact of the ECB Banking Supervision Announcements on the EU Stock Market," DISCE - Working Papers del Dipartimento di Economia e Finanza def112, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    • Handle: RePEc:ctc:serie1:def112
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    File URL: http://dipartimenti.unicatt.it/economia-finanza-def112.pdf
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    Cited by:

    1. Chiara Punzo & Giulia Rivolta, 2022. "Money versus debt financed regime: Evidence from an estimated DSGE model," DISCE - Working Papers del Dipartimento di Economia e Finanza def120, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    2. Boitani, Andrea & Dragomirescu-Gaina, Catalin, 2023. "News and narratives: A cointegration analysis of Russian economic policy uncertainty," Economics Letters, Elsevier, vol. 226(C).
    3. Russell Davidson & Andrea Monticini, 2023. "Bootstrap Performance with Heteroskedasticity," DISCE - Working Papers del Dipartimento di Economia e Finanza def130, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    4. Irene Torrini & Claudio Lucifora & Antonio Russo, 2022. "The Long-Term Effects of Hospitalization on Health Care Expenditures: An Empirical Analysis for the Young-Old Population," DISCE - Working Papers del Dipartimento di Economia e Finanza def117, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    5. Federico Di Pace & Giacomo Mangiante & Riccardo Masolo, 2024. "Monetary policy rules: the market’s view," DISCE - Working Papers del Dipartimento di Economia e Finanza def137, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    6. Valentina Colombo & Alessia Paccagnini, 2024. "Uncertainty and the Federal Reserve’s Balance Sheet Monetary Policy," DISCE - Working Papers del Dipartimento di Economia e Finanza def131, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).

    More about this item

    Keywords

    Banking Supervision; ECB; GARCH; Stock Market.;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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