Market reaction to bank liquidity regulation
We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are less pronounced when coinciding announcements concerning capi...
| Main Authors: | , , |
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| Format: | Article |
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Cambridge University Press
2018
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| Online Access: | https://eprints.nottingham.ac.uk/52499/ |
| _version_ | 1848798740676083712 |
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| author | Bruno, Brunella Onali, Enrico Schaeck, Klaus |
| author_facet | Bruno, Brunella Onali, Enrico Schaeck, Klaus |
| author_sort | Bruno, Brunella |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are less pronounced when coinciding announcements concerning capital regulation are backed out, suggesting that markets do not consider liquidity regulation to be binding. Bank- and country-specific characteristics also matter. Liquid balance sheets and high charter values increase abnormal returns whereas smaller long-term funding mismatches reduce abnormal returns. Banks located in countries with large government debt and tight interbank conditions or with prior domestic liquidity regulation display lower abnormal returns. |
| first_indexed | 2025-11-14T20:24:35Z |
| format | Article |
| id | nottingham-52499 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T20:24:35Z |
| publishDate | 2018 |
| publisher | Cambridge University Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-524992020-05-04T19:34:12Z https://eprints.nottingham.ac.uk/52499/ Market reaction to bank liquidity regulation Bruno, Brunella Onali, Enrico Schaeck, Klaus We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are less pronounced when coinciding announcements concerning capital regulation are backed out, suggesting that markets do not consider liquidity regulation to be binding. Bank- and country-specific characteristics also matter. Liquid balance sheets and high charter values increase abnormal returns whereas smaller long-term funding mismatches reduce abnormal returns. Banks located in countries with large government debt and tight interbank conditions or with prior domestic liquidity regulation display lower abnormal returns. Cambridge University Press 2018-04-30 Article PeerReviewed Bruno, Brunella, Onali, Enrico and Schaeck, Klaus (2018) Market reaction to bank liquidity regulation. Journal of Financial and Quantitative Analysis, 53 (02). pp. 899-935. ISSN 1756-6916 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/market-reaction-to-bank-liquidity-regulation/B1E0832663AC0854937B0470BD658A1F doi:10.1017/S0022109017001089 doi:10.1017/S0022109017001089 |
| spellingShingle | Bruno, Brunella Onali, Enrico Schaeck, Klaus Market reaction to bank liquidity regulation |
| title | Market reaction to bank liquidity regulation |
| title_full | Market reaction to bank liquidity regulation |
| title_fullStr | Market reaction to bank liquidity regulation |
| title_full_unstemmed | Market reaction to bank liquidity regulation |
| title_short | Market reaction to bank liquidity regulation |
| title_sort | market reaction to bank liquidity regulation |
| url | https://eprints.nottingham.ac.uk/52499/ https://eprints.nottingham.ac.uk/52499/ https://eprints.nottingham.ac.uk/52499/ |