The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions
AbstractWe investigate the effectiveness of a well-known global regulatory agency, the Basel Committee, on a major sector of the US financial market. The Basel Committee's recommendations are implemented in the US following a plan set forth by the Federal Banking Agencies (FBAs). The information content of the FBAs’ announcements related to the Basel recommendations is assessed over the 1999–2010 for a sample of 2402 securities of different Depository Credit Intermediation Institutions (DCII). Employing time series of cross section data on these banks, our results indicate that Basel's recommendations have significant impact on the DCII stocks through the FBAs announcements.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economics and Business.
Volume (Year): 64 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jeconbus
Banking Regulatory Agencies; Bank stocks; Cross-sectional; Time-series models;
Find related papers by JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- 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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