Authors: Dimitrios I. Vortelinos; Konstantinos Gkillas
Addresses: Lincoln International Business School, University of Lincoln, UK ' Department of Business Administration, University of Patras, Greece
Abstract: This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE).
Keywords: abnormal returns; policy interventions; event study; financial crisis.
International Journal of Banking, Accounting and Finance, 2019 Vol.10 No.1, pp.39 - 66
Received: 06 Jan 2017
Accepted: 26 Oct 2017
Published online: 26 Apr 2019 *