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Worth the hype? The effect of G20 summits on global financial markets

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  • Lo Duca, Marco
  • Stracca, Livio

Abstract

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. Against this background, this paper looks at G20 meetings at Ministerial and Leaders level to see whether they had an impact on global financial markets. To assess their impact we run an event study and we look at equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis between 2007 and 2013. Our main finding is that G20 summits have not had a strong, consistent and durable effect on any of the markets that we consider, suggesting that the information and decision content of G20 summits is of limited relevance for market participants.

Suggested Citation

  • Lo Duca, Marco & Stracca, Livio, 2015. "Worth the hype? The effect of G20 summits on global financial markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 192-217.
  • Handle: RePEc:eee:jimfin:v:53:y:2015:i:c:p:192-217 DOI: 10.1016/j.jimonfin.2015.01.003
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    References listed on IDEAS

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    Cited by:

    1. Liu, Xueyong & An, Haizhong & Li, Huajiao & Chen, Zhihua & Feng, Sida & Wen, Shaobo, 2017. "Features of spillover networks in international financial markets: Evidence from the G20 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 265-278.

    More about this item

    Keywords

    G20; Global financial markets; Event studies; Volatility; Global governance; Financial crisis;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F53 - International Economics - - International Relations, National Security, and International Political Economy - - - International Agreements and Observance; International Organizations

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