Central Bank Intervention and Stock Market Response

Ai-Chi Hsu and Fiesty Utami
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Ai-Chi Hsu: National Yunlin University of Science and Technology, Douliu, Taiwan
Fiesty Utami: National Yunlin University of Science and Technology, Douliu, Taiwan

International Journal of Business and Administrative Studies, 2016, vol. 2, issue 5, 151-161

Abstract: We examined the reaction of stock markets around central bank interventions using an event study framework. In the absence of intervention data, we used proxies for central bank intervention. The dataset encompasses monthly observations for 32 countries, during the period 1994 to 2015. We estimated abnormal returns by using traditional market model. Our empirical analysis indicates that all negative abnormal returns following central bank intervention are significant during currency crises period. This might be because the market forces were too strong and central banks could not handle those. We also examined the central bank intervention in each country and we documented some stock markets that give significant reactions to intervention events especially when central banks have a high number of International reserves they can use.

Keywords: Central Bank Intervention; Currency Crises; Stock Market; Event Study (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:apa:ijbaas:2016:p:151-161

DOI: 10.20469/ijbas.2.10005-5

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