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Contribution Details
| Type | Conference Presentation |
| Scope | Discipline-based scholarship |
| Title | On becoming an O-SII ("Oter Systemically Important Institution") |
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| Presentation Type | paper |
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published electronically before print/final form (Epub ahead of print) |
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| Event Title | ASSA |
| Event Type | conference |
| Event Location | Atlanta |
| Event Start Date | January 4 - 2019 |
| Event End Date | February 6 - 2019 |
| Abstract Text | How do financial markets react to the disclosure of the list of Other Systemically Important Institutions by the European Banking Authority? With an event study of bank stock prices, we document that the immediate reaction of the stock market is negative. However, within a few days investors change their perception, both in the case of euro zone and non-euro zone banks. CDS spreads react similarly, increasing first before decreasing almost immediately thereafter. Abnormal returns are more negative for large, traditionally-focused or state-owned banks, and in countries with less competitive banking markets or lower fiscal capacity. In addition, the quantitative or qualitative approach by which O-SIIs are selected, as well as the existence and level of the capital buffers imposed on them, have a significant impact on both the short and long run market reaction. |
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