Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data

Detalhes bibliográficos
Autor(a) principal: Mendes, Artur Jorge Gonçalves
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9574
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
id RCAP_ced8c49e1e91e2dd3d3161e52a1e97c5
oai_identifier_str oai:run.unl.pt:10362/9574
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese dataEuropean sovereign debt crisisBanks’ share returnEvent studymarket efficiencyA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis paper studies the impact of the European sovereign debt crisis on Portuguese banks’ share prices. I employ an event study methodology to assess the behavior of banks’ share prices before, and after a credit rating announcement in relation to both the sovereign and the banks individually. I find that sovereign credit ratings have a significant impact on banks’ stock market returns while individual bank credit ratings seem to have little influence. This is probably due to the fact that banks’ credit ratings have been reflecting changes in sovereign ratings rather than any idiosyncratic factors of banks’ solvency. Among the rating agencies studied the most predominant is Standard & Poor’s. Furthermore, I find that the behavior of banks’ stock returns exhibit a certain degree of market inefficiency and anticipation.NSBE - UNLPinho, PauloRUNMendes, Artur Jorge Gonçalves2013-05-13T13:41:05Z2012-062012-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9574enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:42:46Zoai:run.unl.pt:10362/9574Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:54.553129Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
title Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
spellingShingle Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
Mendes, Artur Jorge Gonçalves
European sovereign debt crisis
Banks’ share return
Event study
market efficiency
title_short Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
title_full Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
title_fullStr Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
title_full_unstemmed Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
title_sort Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data
author Mendes, Artur Jorge Gonçalves
author_facet Mendes, Artur Jorge Gonçalves
author_role author
dc.contributor.none.fl_str_mv Pinho, Paulo
RUN
dc.contributor.author.fl_str_mv Mendes, Artur Jorge Gonçalves
dc.subject.por.fl_str_mv European sovereign debt crisis
Banks’ share return
Event study
market efficiency
topic European sovereign debt crisis
Banks’ share return
Event study
market efficiency
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2012
dc.date.none.fl_str_mv 2012-06
2012-06-01T00:00:00Z
2013-05-13T13:41:05Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9574
url http://hdl.handle.net/10362/9574
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137833385984000

Registros relacionados