The impact of ECB macro-announcements on bid–ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael

doi:10.1016/j.jempfin.2015.02.005

Cited by 12 publications

(12 citation statements)

References 54 publications

(32 reference statements)

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“…Rather, it increases volatility even during the transition process and further increases volatility of the market after the GST implementation. This finding supports the finding by Rühl and Stein (2015) that the direction of macro-news announcement is governed by the expectation of the market.…”

Section: After Gst Implementationsupporting

confidence: 91%

“…Unlike CPI, GST was considered as additional burden that might deteriorate living standard of the households and was also considered as a policy that forces households to pay national debt deficit. This supports the finding of Rühl and Stein (2015) that stress on the expectation of the market matters in predicting reaction of the market towards macro-news announcement.…”

Section: Related Literature and Theoretical Backgroundsupporting

confidence: 88%

“…The finding from this study and the examination on the effect of the GST pre-and post-announcement will provide crucial and beneficial empirical information with regard to the impact of the announcement and the implementation of a new tax reform on market volatility. Understanding the effect of macro-news on securities prices is essential to better understand market behaviour (Rühl and Stein, 2015). Effect of macro-news announcement on stock market is essential for market traders and policy makers for better decision making (Adjasi, 2009).…”

Section: Introductionmentioning

confidence: 99%

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The impact of GST implementation on the Malaysian stock market index volatility

Haron

Salami

2019

JABES

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Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock index and futures markets for the period ranging from June 2009 to November 2016. Empirical estimation is based on the generalised autoregressive conditional heteroscedasticity (1, 1) model for pre- and post-announcement of the GST. Findings Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia. Practical implications The finding of this study is consistent with expectation of the market that GST policy will increase the price of the goods and services and might reduce standard of living. This is supported by a noticeable increase in the volatility of the Malaysian stock market index in the post-announcement of GST which is empirically shown during the announcement and after the implementation of GST. Although the GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails in the market as shown by the increase in the market volatility. Originality/value Past studies on Malaysian stock market index volatility focus on the impact of Asian and global financial crisis whereas this study examines the impact of the GST announcement and implementation on the volatility of the Malaysian stock market index.

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Section: After Gst Implementationsupporting

confidence: 91%

Section: Related Literature and Theoretical Backgroundsupporting

confidence: 88%

Section: Introductionmentioning

confidence: 99%

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The impact of GST implementation on the Malaysian stock market index volatility

Haron

Salami

2019

JABES

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“…Furthermore, with the use of an event study analysis with two types of windows and a descriptive analysis, Falagiarda and Reitz (2015) found that the ECB's unconventional policies had an impact on the euro area countries on sovereign debt markets. Ruhl and Stein (2015) examined the impact of macro-announcements of the ECB on bid ask spreads using intraday data of both euro and non-euro area stocks. They found that the effects are stronger for announcements comprising unexpected information or a significant change in interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%

Reaction of EU stock markets to ECB policy interventions

Vortelinos

Γκίλλας

2019

IJBAAF

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This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE).

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“…The finding from this study and the examination on the effect of the GST announcement will provide crucial and beneficial empirical information with regards to the impact of the newly tax reform (GST) announcement on stock market volatility. Previous studies also established that understanding the effect of macro-news on market volatility is essential to better understand market behaviour (Rühl and Stein, 2015) and essential for market traders and policymakers for better decision making (Adjasi, 2009).…”

Section: Introductionmentioning

confidence: 99%