An investigation how quantitative easing programme, Vickers’ ring-fencing regulation and the ‘Brexit’ announcement impact on UK banking sector

Sulimierska, Malgorzata and Miele, Alessandro Attilio Antonio (2017) An investigation how quantitative easing programme, Vickers’ ring-fencing regulation and the ‘Brexit’ announcement impact on UK banking sector. International Journal of Empirical Finance, 5 (3). pp. 155-166. ISSN 2310-3248

[img] PDF - Published Version
Download (793kB)

Abstract

In this paper, ‘Events study analysis’ is used to analyse the impact of Vickers’ Ring-fencing regulation, Quantitative Easing programme and the United Kingdom’s vote to leave the European Union (‘Brexit’) on the UK banking system. Ten banks have been included in the study and the stock price data for each of them was collected from the 14th January 2011 to the 30th of July 2016. We find that banks affected by Vickers’ regulation did have negative abnormal returns as the policy progressed, indicating that the policy may not be the best way to limit risk in banks. The results also show that Quantitative Easing does affect the banks’ abnormal returns positively and that ‘bigger’ banks benefit more from its implementation. Finally, we discover that the ‘Brexit’ vote did cause negative abnormal returns across all banks, however, it was the smaller ‘unaffected’ banks which suffered the most.

Item Type: Article
Keywords: Ring-fencing; Brexit; Quantitative Easing; Events study analysis; UK banking regulations
Schools and Departments: School of Business, Management and Economics > Business and Management
Research Centres and Groups: Business and Finance Research Group
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system
H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
Related URLs:
Depositing User: Malgorzata Sulimierska
Date Deposited: 02 Feb 2018 14:22
Last Modified: 02 Feb 2018 14:22
URI: http://sro.sussex.ac.uk/id/eprint/73296

View download statistics for this item

📧 Request an update
Project NameSussex Project NumberFunderFunder Ref
JRAUnsetUnsetUnset