Stock market reaction to policy interventions
Fiordelisi, Franco and Galloppo, Giuseppe (2018) Stock market reaction to policy interventions. European Journal of Finance, 24 (18) . pp. 1817-1834. ISSN 1351-847X [Article] (doi:10.1080/1351847X.2018.1450278)
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Abstract
We analyse stock price reactions to the announcements of monetary and fiscal policy actions in 12 stock exchanges worldwide between 1 June 2007 and 30 June 2012. While past papers have analysed the effect of policy interventions focusing on monetary policy actions (e.g. Ricci 2015), our paper focuses on stock indices either capturing the whole stock market or various industries. By estimating abnormal stock reactions around the announcement date, we show that (1) stock industry indices react to policy interventions in a different manner than the broad stock index does; (2) stock returns react negatively to restriction measures for general and non-banking sector indices; and (3) stock reaction to expansionary measures was stronger at the beginning of the financial crisis.
| Item Type: | Article |
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| Research Areas: | A. > Business School > Accounting and Finance |
| Item ID: | 24859 |
| Notes on copyright: | This is an Accepted Manuscript of an article published by Taylor & Francis in European Journal of Finance on 22/03/2018, available online: http://www.tandfonline.com/10.1080/1351847X.2018.1450278 |
| Useful Links: | |
| Depositing User: | Franco Fiordelisi |
| Date Deposited: | 30 Aug 2018 12:06 |
| Last Modified: | 14 Jun 2021 09:03 |
| URI: | https://eprints.mdx.ac.uk/id/eprint/24859 |
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