EconPapers    
Economics at your fingertips  
 

US and EU unconventional monetary policy spillover on BRICS financial markets: an event study

Justinas Lubys () and Pradiptarathi Panda ()
Additional contact information
Justinas Lubys: University of Groningen
Pradiptarathi Panda: National Institute of Securities Markets (NISM)

Empirica, 2021, vol. 48, issue 2, No 4, 353-371

Abstract: Abstract This paper examines the effects of monetary authorities in Europe and US unconventional policy announcements on emerging stock markets (BRICS). An event study methodology is used to analyse the impact on the sectors of interest: consumer, financials, and materials. The analysed abnormal returns are significant during some events and are also dependent on the announcing central bank authority, as well as the sector and country investigated, linking the announcements to spillover effects in those countries. In terms of differing magnitude effects regarding the announcements of the central banks, no significant pattern was found. However, magnitudes seem to be unexpectedly, but not always significantly, higher during FED statements.

Keywords: Event study; Financial markets; Monetary policy; BRICS economy (search for similar items in EconPapers)
JEL-codes: E44 E52 G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10663-020-09480-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:empiri:v:48:y:2021:i:2:d:10.1007_s10663-020-09480-8

Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663

DOI: 10.1007/s10663-020-09480-8

Access Statistics for this article

Empirica is currently edited by Fritz Breuss and Fritz Breuss

More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2022-05-12
Handle: RePEc:kap:empiri:v:48:y:2021:i:2:d:10.1007_s10663-020-09480-8