The impact of ECB's digital euro announcements on the stock prices of publicly listed European banks : an event study
Yasara, Willuda Arachchige Dinali (2025)
Pro gradu -tutkielma
2025
School of Business and Management, Kauppatieteet
Kaikki oikeudet pidätetään.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2025072979784
https://urn.fi/URN:NBN:fi-fe2025072979784
Tiivistelmä
This thesis examines how European Central Bank (ECB) announcements specifically related to the development of the digital euro impacted the stock prices of 40 publicly listed Eurozone banks between 2020 and 2024. Using an event study approach and the Fama-French three-factor model, the study analyses abnormal returns across three event windows: Day 0, [-1, +5], and [-1, +10].
The results show limited immediate reactions, but several announcements led to statistically significant abnormal returns over multi-day windows, suggesting delayed market responses. No consistent or significant effects were observed when banks were analysed separately within small, medium and large asset size categories. Although very large banks (>€1,000 billion in assets) showed some significance at the 10% level, the small size of that subgroup limits the reliability of these findings.
The study offers early empirical insights into market sensitivity to central bank digital currency (CBDC) announcements and highlights the need for further research with broader samples to confirm bank-level differences. These findings can inform regulatory communication strategies, guide risk management for deposit-dependent banks and help investors anticipate short-term market responses to monetary innovation.
The results show limited immediate reactions, but several announcements led to statistically significant abnormal returns over multi-day windows, suggesting delayed market responses. No consistent or significant effects were observed when banks were analysed separately within small, medium and large asset size categories. Although very large banks (>€1,000 billion in assets) showed some significance at the 10% level, the small size of that subgroup limits the reliability of these findings.
The study offers early empirical insights into market sensitivity to central bank digital currency (CBDC) announcements and highlights the need for further research with broader samples to confirm bank-level differences. These findings can inform regulatory communication strategies, guide risk management for deposit-dependent banks and help investors anticipate short-term market responses to monetary innovation.