What do we know about the stock markets' reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions

被引:2
作者
Kawas, Stephen [1 ]
Dockery, Everton [1 ]
机构
[1] Univ Portsmouth, Sch Business, Dept Econ & Finance, Portland St, Portsmouth PO1 3DE, Hants, England
关键词
Financial regulation; UK financial institutions; Credit default swap; Market reaction; EGARCH and GJR-GARCH; BIG-TO-FAIL; TIME-SERIES; VOLATILITY; BANKING; IMPACT; RETURN; PRICE; NEWS;
D O I
10.1007/s11156-022-01088-2
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper employs an event study approach to examine stock price reactions around announcements of regulatory changes to strengthen UK financial regulation and financial institutions stability from 2000 to 2014. These announcements include the Financial Services and Markets Act 2000, the Market Abuse Directive, the Banking Act 2009, Basel III, the Finance Act 2012, and MiFID II, among other regulatory announcements. Our data covers the period 2000-2014 and five UK financial sectors. Event study results indicate mixed evidence on market reaction to announcements of regulatory changes, owing to the source of the regulation. A key finding is the presence of market inefficiency in the pricing in of impending regulatory announcements on equities. Stock price reactions differed concerning the impact of announcements on bank and insurance firms' CDS spreads to recommendations linked to the Turner review and the Vickers reform proposals.
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页码:31 / 67
页数:37
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