US and EU unconventional monetary policy spillover on BRICS financial markets: an event study

被引：0
作者：
Justinas Lubys
Pradiptarathi Panda
机构：
[1] University of Groningen,Faculty of Economics and Business
[2] National Institute of Securities Markets (NISM),undefined
来源：
Empirica | 2021年 / 48卷
关键词：
Event study; Financial markets; Monetary policy; BRICS economy; G14; G15; E44; E52;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper examines the effects of monetary authorities in Europe and US unconventional policy announcements on emerging stock markets (BRICS). An event study methodology is used to analyse the impact on the sectors of interest: consumer, financials, and materials. The analysed abnormal returns are significant during some events and are also dependent on the announcing central bank authority, as well as the sector and country investigated, linking the announcements to spillover effects in those countries. In terms of differing magnitude effects regarding the announcements of the central banks, no significant pattern was found. However, magnitudes seem to be unexpectedly, but not always significantly, higher during FED statements.
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页码：353 / 371
页数：18
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