Grexit News and Stock Returns

Universitat Trier, Research Paper in Economics No. 8/16

36 Pages Posted: 17 Jun 2016

See all articles by Andreas Haupenthal

Andreas Haupenthal

University of Trier

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: June 16, 2016

Abstract

During the first eight months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of January 1, 2015-August 19, 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an eight month snapshot of the Greek government debt crisis.

Keywords: Event Study, Grexit, Intraday Data, Political Statements, Stock Returns

JEL Classification: G01, G12, G14

Suggested Citation

Haupenthal, Andreas and Neuenkirch, Matthias, Grexit News and Stock Returns (June 16, 2016). Universitat Trier, Research Paper in Economics No. 8/16, Available at SSRN: https://ssrn.com/abstract=2796535 or http://dx.doi.org/10.2139/ssrn.2796535

Andreas Haupenthal

University of Trier ( email )

15, Universitaetsring
Trier, 54286
Germany

Matthias Neuenkirch (Contact Author)

University of Trier - Faculty of Economics ( email )

Universitätsring 15
Trier, 54296
Germany
+49 - (0)651 - 201 - 2629 (Phone)

HOME PAGE: http://www.uni-trier.de/index.php?id=50130

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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