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

Justinas Lubys () and Pradiptarathi Panda ()
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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
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DOI: 10.1007/s10663-020-09480-8

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