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Does the disclosure of stress test results affect market behaviour?

Author

Listed:
  • Ponte Marques, Aurea
  • Pancaro, Cosimo
  • Durrani, Agha
  • Giraldo, Giacomo
  • Panos, Jiri
  • Zaharia, Alina

Abstract

The publication of stress test results improves transparency and market discipline. It promotes financial stability by generating new information, thus improving the ability of markets to discriminate between banks. The results of this analysis confirm the certification role of stress tests. JEL Classification: G11, G14, G21, G28

Suggested Citation

  • Ponte Marques, Aurea & Pancaro, Cosimo & Durrani, Agha & Giraldo, Giacomo & Panos, Jiri & Zaharia, Alina, 2022. "Does the disclosure of stress test results affect market behaviour?," Macroprudential Bulletin, European Central Bank, vol. 17.
    • Handle: RePEc:ecb:ecbmbu:2022:0017:4
    Note: 3594456
    as

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    File URL: https://www.ecb.europa.eu//pub/financial-stability/macroprudential-bulletin/html/ecb.mpbu202206_4~8f27828978.en.html
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    Citations

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    Cited by:

    1. Kok, Christoffer & Müller, Carola & Ongena, Steven & Pancaro, Cosimo, 2023. "The disciplining effect of supervisory scrutiny in the EU-wide stress test," Journal of Financial Intermediation, Elsevier, vol. 53(C).

    More about this item

    Keywords

    Excess return; Financial stability; Information; Stock markets; Stress testing; Volatility;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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