Market perceptions of US and European policy actions around the subprime crisis
Theoharry Grammatikos (),
Thorsten Lehnert and
Yoichi Otsubo ()
Journal of International Financial Markets, Institutions and Money, 2015, vol. 37, issue C, 99-113
This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the European policy announcements. In particular, the announcements of monetary policies by the US authorities were accompanied by higher abnormal returns compared to related announcements of European authorities. We also find that the policy announcements, regardless of which side of the Atlantic the news arrived from, has increased the return volatility during the crisis. We further analyze the reactions of implied volatility. The findings suggest that the currency swaps had a non-negligible effect in reducing future uncertainty.
Keywords: Event study; Policy announcement; Subprime crisis (search for similar items in EconPapers)
JEL-codes: G01 G14 G18 G21 G28 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Market Perceptions of US and European Policy Actions Around the Subprime Crisis (2014)
Working Paper: Market Perceptions of US and European Policy Actions Around the Subprime Crisis (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:37:y:2015:i:c:p:99-113
Access Statistics for this article
Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely
More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Haili He ().