Abstract:

This paper examines the impact of the four unconventional monetary policy announcements followed by the European Central Bank on the stock price of European banks, as well as on the STOXX Europe 600 Banks index, from January 2010 to December 2016. The results show that there is a positive relation between the announced programs and the stock returns of the European banks at the same day of the announcement, while the impact is stronger for the long-term sovereign bond purchases (Securities Markets Programme). We also find that the banks of the countries which benefit most from the unconventional policies are these from Southern Europe. On the contrary, the announcement of these programs displays a limited effect on the banks of the European core countries and those with solid banking system. Finally, the announcements seem to reduce the volatility of stock prices and especially for the Covered Bond Purchase Programme (CBPP3).

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