EU-wide stress testing announcement: The reaction of stock returns


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Διεθνές Πανεπιστήμιο της Ελλάδος
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Αποθετήριο ΔΙ.ΠΑ.Ε.
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Σημασιολογικός εμπλουτισμός/ομογενοποίηση από το EKT

2015 (EL)
EU-wide stress testing announcement: The reaction of stock returns (EN)

Tsiouris, Nikolaos (EN)

School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance (EL)
Sikalidis, Alexandros (EN)
Archontakis, Fragiskos (EN)
Nomikos, Nikolaos (EN)

This dissertation was written as part of the MSc in Banking & Finance at the In ternational Hellenic University. A bank stress test is an analysis performed under extreme economic scenarios which is planned to investigate whether the institution has enough capital to cope with the impact of various economic abnormalities in the financial system. The main pur pose of this study is to find out the impact that the 2014 stress test results’ an nouncement, conducted by the European Banking Authority (EBA), has on the stock returns of the tested banking institutions. The first concern was to clearly set the scene of the stress test procedure by illustrating some vital aspects regarding the roots of this process, the mechanics behind that, the objectives and generally all the factors that lead the regulatory authorities perform this type of analysis. In order to have measurable outcomes that could help me precisely estimate the impact of the announcement I employed the standard event study methodology. I firstly defined the event of interest along with the estimation and event window. Moreover, I set the selection criteria so as to have the final sample and then moved to the estimation of the normal and abnormal returns. After calculating the Average Ab normal Return (AAR) and Cumulative Average Abnormal Return (CAAR) I assessed whether the estimated t-statistic values are statistically significant or not. This study was formed under the supervision of Professor Nikos Nomikos. His valuable guidelines, comments and corrections helped me finish my dissertation in the time allotted. Keywords (EN)


Διεθνές Πανεπιστήμιο της Ελλάδος (EL)
International Hellenic University (EN)



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