1. EFFECTS OF QUANTITATIVE EASING ANNOUNCEMENTS ON EQUITIES: EU EVIDENCE.
- Author
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SAFAR, LEOS, GLOVA, JOZEF, ANDREJOVSKA, ALENA, and SOPKO, JAKUB
- Subjects
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ABNORMAL returns , *STOCKS (Finance) , *STOCK exchanges , *ANNOUNCEMENTS , *EVIDENCE - Abstract
In this paper we examine effects of the Quantitative easing (QE) related statements made by the European Central Bank (ECB) on major equity indices in the Europe (EU). We consider days, when announcements had been made, as events for the event-study. We approach this methodology with aim to calculate excess returns on particular announcement day for representative indices in the old continent. Admitting complexity of those statements, and difficulty to isolate effects linked only to QE related information, we analysed statements individually, to be able to extrapolate deviations more accurately. Results indicate positive excess returns (above average performance over previous 60 days) on indices in average following especially information linked to prolongation or expansion of existing QE programme. [ABSTRACT FROM AUTHOR]
- Published
- 2020