How do stock markets in emerging economies respond to World Bank loan approvals?

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Erasmus Kersting, Christopher Kilby
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Abstract

This paper examines the impact of World Bank loan approvals on equity markets in borrowing countries. We exploit a rich dataset with World Bank loan commitments and daily stock market returns for 47 emerging markets, allowing us to study short run market reactions to news about World Bank programs. These programs fall into three categories: investment projects, structural adjustment loans that tie future macroeconomic reforms to future loan disbursements (prior to FY2006), and development policy loans that reward completed macroeconomic reforms with current loan disbursements (since FY2006). Event study analysis shows positive abnormal stock market returns on the trading day following investment project loan announcements. The effect depends on loan size as well as market characteristics. Structural adjustment loan announcements are followed by negative abnormal returns; development policy loan announcements, in contrast, are considered good news. This suggests that expected macroeconomic implications of policy change in response to loan conditions drive market reactions, and that changes in the conditionality and disbursement structure of World Bank policy lending were successful in improving market reactions to World Bank programs.

新兴经济体的股票市场如何应对世界银行的贷款审批?
本文研究了世界银行贷款审批对借款国股票市场的影响。我们利用世界银行贷款承诺和 47 个新兴市场每日股市回报的丰富数据集,研究了市场对世界银行项目消息的短期反应。这些项目分为三类:投资项目、将未来宏观经济改革与未来贷款支付挂钩的结构调整贷款(2006 财年之前),以及以当前贷款支付奖励已完成宏观经济改革的发展政策贷款(2006 财年之后)。事件研究分析表明,在投资项目贷款公布后的交易日,股票市场会出现正的异常回报。这种效应取决于贷款规模和市场特征。结构调整贷款公布后,股票市场会出现负的异常回报;相反,发展政策贷款公布后,股票市场会被视为利好消息。这表明,根据贷款条件改变政策的预期宏观经济影响推动了市场反应,世界银行政策性贷款条件和支付结构的变化成功地改善了市场对世界银行项目的反应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.10
自引率
4.20%
发文量
85
审稿时长
100 days
期刊介绍: The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
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