An Investigation How Quantitative Easing Programme, Vickers’ Ring-Fencing Regulation and the ‘Brexit’ Announcement Impact on UK Banking Sector
Journal Title: International Journal of Empirical Finance - Year 2017, Vol 5, Issue 3
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.
Authors and Affiliations
Alessandro Attilio Antonio Miele, Malgorzata Sulimierska
Keywords
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