Abnormal returns and systemic risk: evidence from a non-parametric bootstrap framework during the European sovereign debt crisis

IF 0.4 Q4 ECONOMICS

International Journal of Computational Economics and Econometrics Pub Date : 2020-06-10 DOI:10.1504/ijcee.2020.10029946

Konstantinos Gkillas, Christos Floros, Christoforos Konstantatos, Dimitrios Vortelinos

引用次数: 2

Abstract

We investigate the impact of European Central Bank (ECB) interventions on major European and Turkish stock and credit default swap (CDS) markets highlighting the importance of abnormal to excess abnormal returns in the systemic risk. In particular, we examine the impact of ECB announcements (news) on major European and Turkish financial markets (stocks and CDSs indices) for a high and low-volatility period, i.e., from November 6th, 2008 to December 31st, 2015. We also examine the market efficiency by using both an event study methodology and the Capital Asset Pricing Model. Moreover, the impact of the ECB events is measured by an event study and a systemic risk analysis. The results show that investors exposed to Finland, Sweden, Austria and Spain tend to be more vulnerable to risk and volatility, when ECB announcements are published.

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异常收益与系统性风险:来自欧洲主权债务危机期间非参数自举框架的证据

我们调查了欧洲央行（ECB）干预对欧洲和土耳其主要股票和信用违约掉期（CDS）市场的影响，强调了系统性风险中异常到超额异常回报的重要性。特别是，我们研究了欧洲央行公告（新闻）对欧洲和土耳其主要金融市场（股票和CDSs指数）在高波动期和低波动期（即2008年11月6日至2015年12月31日）的影响。我们还使用事件研究方法和资本资产定价模型来检验市场效率。此外，欧洲央行事件的影响是通过事件研究和系统风险分析来衡量的。结果显示，当欧洲央行公布公告时，芬兰、瑞典、奥地利和西班牙的投资者往往更容易受到风险和波动的影响。

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

International Journal of Computational Economics and Econometrics ECONOMICS-

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： IJCEE explores the intersection of economics, econometrics and computation. It investigates the application of recent computational techniques to all branches of economic modelling, both theoretical and empirical. IJCEE aims at an international and multidisciplinary standing, promoting rigorous quantitative examination of relevant economic issues and policy analyses. The journal''s research areas include computational economic modelling, computational econometrics and statistics and simulation methods. It is an internationally competitive, peer-reviewed journal dedicated to stimulating discussion at the forefront of economic and econometric research. Topics covered include: -Computational Economics: Computational techniques applied to economic problems and policies, Agent-based modelling, Control and game theory, General equilibrium models, Optimisation methods, Economic dynamics, Software development and implementation, -Econometrics: Applied micro and macro econometrics, Monte Carlo simulation, Robustness and sensitivity analysis, Bayesian econometrics, Time series analysis and forecasting techniques, Operational research methods with applications to economics, Software development and implementation.