The impact of unconventional monetary policies by European Central Bank on the returns of European bank stocks

Postgraduate Thesis uoadl:1699927 239 Read counter

Unit:
Κατεύθυνση Χρηματοοικονομική
Library of the Faculty of Economics and of the Faculty of Business Administration
Deposit date:
2017-07-05
Year:
2017
Author:
Kagiana Athanasia
Supervisors info:
Dimitris Kenourgios, Associate Professor of Finance, Faculty of Economics and Political Sciences-Department of Economics, National and Kapodistrian University of Athens
Original Title:
The impact of unconventional monetary policies by European Central Bank on the returns of European bank stocks
Languages:
English
Translated title:
The impact of unconventional monetary policies by European Central Bank on the returns of European bank stocks
Summary:
This essay examines the impact of the unconventional monetary policy announcements followed by European Central Bank (ECB) on the stock price of European banks, as well as the effect of them on “STOXX Europe 600 Banks” Index during a 7-year period, from January 2010 to December 2016. Using daily data from 52 European banks, we include QE dummies for four announced programmes: long-term sovereign bond purchases (Securities Markets Programme, SMP), short-term sovereign bond purchases (Outright Monetary Transactions, OMT), covered bond purchase programme (CBPP3) and public sector purchase programme (PSPP). By applying a GARCH (1, 1) model, the results show that there is a positive relation between the European Central Bank’s announced programme and the returns of stocks of the 52 European banks in the same day of the announcement, while the impact is stronger for the long-term sovereign bond purchases (Securities Markets Programme, SMP). Furthermore, analyzing the banks per country, we find that the banks of the countries which benefit most from the unconventional policies, are these from Southern Europe and this seems that the announcement of QE has created positive expectations for the solution of their economic problems. As regards the northern countries, the announcement of QE had recorded a limited effect on them and this means that investors showed lack of concern. On the other hand, the same announcements had a low impact on countries with solid banking system such as Switzerland, Denmark, Norway and Sweden. As far the GARCH model results are concerned, the unconventional monetary policy reduces the volatility of stock prices and especially for the CBPP3 programme.
Main subject category:
Economics
Keywords:
NON CONVENTIONAL POLICY, RETURNS, BANK, IMPACT, ECB
Index:
No
Number of index pages:
0
Contains images:
No
Number of references:
16
Number of pages:
28
Kagiana Nancy.pdf (665 KB) Open in new window