Do markets notice economic policymaker changes? An event study
| Thesis title: | Do markets notice economic policymaker changes? An event study |
|---|---|
| Author: | Cvejn, Michal |
| Thesis type: | Diploma thesis |
| Supervisor: | Klosová, Anna |
| Opponents: | Meeusen, Wim |
| Thesis language: | English |
| Abstract: | This paper applies event study analysis on stock and bond market data in 14 European countries between 1990 and 2012 in order to assess market reaction to key economic policymaker changes. The analysis relies on methodological framework is based on article of Kuttner & Posen (2010) and on an original database of political events. The empirical results show that policymaker changes are not reflected in markets as single-day events, rather they are associated with several days of increased volatility following the event. Furthermore, elections are shown to be linked with market volatility on the event day as well as in postevent period. |
| Keywords: | elections; political uncertainty; event study; economic policymaker change |
| Thesis title: | Do markets notice economic policymaker changes? An event study |
|---|---|
| Author: | Cvejn, Michal |
| Thesis type: | Diplomová práce |
| Supervisor: | Klosová, Anna |
| Opponents: | Meeusen, Wim |
| Thesis language: | English |
| Abstract: | This paper applies event study analysis on stock and bond market data in 14 European countries between 1990 and 2012 in order to assess market reaction to key economic policymaker changes. The analysis relies on methodological framework is based on article of Kuttner & Posen (2010) and on an original database of political events. The empirical results show that policymaker changes are not reflected in markets as single-day events, rather they are associated with several days of increased volatility following the event. Furthermore, elections are shown to be linked with market volatility on the event day as well as in postevent period. |
| Keywords: | elections; political uncertainty; event study; economic policymaker change |
Information about study
| Study programme: | Economics of Globalisation and European Integration |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of International Relations |
| Department: | Department of International Business |
Information on submission and defense
| Date of assignment: | 15. 6. 2012 |
|---|---|
| Date of submission: | 20. 12. 2012 |
| Date of defense: | 7. 1. 2013 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/38131/podrobnosti |