Grexit News and Stock Returns

Andreas Haupenthal and Matthias Neuenkirch

No 2016-08, Research Papers in Economics from University of Trier, Department of Economics

Abstract: During the first eight months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of January 1, 2015-August 19, 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an eight month snapshot of the Greek government debt crisis.

Keywords: Event Study; Grexit; Intraday Data; Political Statements; Stock Returns (search for similar items in EconPapers)
JEL-codes: G01 G12 G14 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2016
New Economics Papers: this item is included in nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Grexit news and stock returns (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:trr:wpaper:201608

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