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

Author

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  • Justinas Lubys

    (University of Groningen)

  • Pradiptarathi Panda

    (National Institute of Securities Markets (NISM))

Abstract

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.

Suggested Citation

  • Justinas Lubys & Pradiptarathi Panda, 2021. "US and EU unconventional monetary policy spillover on BRICS financial markets: an event study," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 353-371, May.
    • Handle: RePEc:kap:empiri:v:48:y:2021:i:2:d:10.1007_s10663-020-09480-8
    DOI: 10.1007/s10663-020-09480-8
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    Cited by:

    1. Zhe Cheng & Yuntong Zhao & Tao Song & Le Cheng & Wenbin Wang, 2023. "White Elephant or Golden Goose? An Assessment of Middle Route of the South-to-North Water Diversion Project from the Perspective of Regional Water Use Efficiency," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(2), pages 819-834, January.
    2. Babita Panda & Ajaya Kumar Panda & Pradiptarathi Panda, 2023. "Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 259-272, March.

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    More about this item

    Keywords

    Event study; Financial markets; Monetary policy; BRICS economy;
    All these keywords.

    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
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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