| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 104 === This study examines the reaction of stock markets around central bank
interventions using an event study framework. In the absence of intervention data, this study uses proxies for central bank intervention. The dataset encompasses monthly observations for 32 countries, during the period 1994 to 2015. This study estimates abnormal returns by using traditional market model. The empirical analysis indicates that on average, stock markets react negatively around central bank intervention in a short-term period. Moreover, all negative abnormal returns following central bank intervention are significant during currency crises period. This might be because the
market forces were too strong and central banks could not handle those. This study also shows that stock markets in developing countries on average react negatively around central bank interventions in a short-term period, whereas in developed countries, almost all the CARs are not significant around central bank intervention. Furthermore, this study documents some stock markets give significant reactions to intervention events especially when central banks have a high number of International reserves they can use.
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