Skip to main content

Research Repository

Advanced Search

Market reaction to bank liquidity regulation

Bruno, Brunella; Onali, Enrico; Schaeck, Klaus

Authors

Brunella Bruno

Enrico Onali

Klaus Schaeck



Abstract

We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are less pronounced when coinciding announcements concerning capital regulation are backed out, suggesting that markets do not consider liquidity regulation to be binding. Bank- and country-specific characteristics also matter. Liquid balance sheets and high charter values increase abnormal returns whereas smaller long-term funding mismatches reduce abnormal returns. Banks located in countries with large government debt and tight interbank conditions or with prior domestic liquidity regulation display lower abnormal returns.

Citation

Bruno, B., Onali, E., & Schaeck, K. (2018). Market reaction to bank liquidity regulation. Journal of Financial and Quantitative Analysis, 53(2), 899-935. https://doi.org/10.1017/S0022109017001089

Journal Article Type Article
Acceptance Date Nov 6, 2016
Online Publication Date Mar 4, 2018
Publication Date Apr 30, 2018
Deposit Date Jun 19, 2018
Publicly Available Date Mar 28, 2024
Journal Journal of Financial and Quantitative Analysis
Print ISSN 0022-1090
Electronic ISSN 1756-6916
Publisher Cambridge University Press
Peer Reviewed Peer Reviewed
Volume 53
Issue 2
Pages 899-935
DOI https://doi.org/10.1017/S0022109017001089
Public URL https://nottingham-repository.worktribe.com/output/929365
Publisher URL https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/market-reaction-to-bank-liquidity-regulation/B1E0832663AC0854937B0470BD658A1F
Additional Information This article has been published in a revised form in Journal of Financial and Quantitative Analysis http://doi.org/10.1017/S0022109017001089. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © Michael G. Foster School of Business, University of Washington 2018.

Files



Market Reaction to bank.pdf (554 Kb)
PDF

Version
NA - Not Applicable (or Unknown)




You might also like



Downloadable Citations