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Akinbote, Mayowa Austin Olakanmi (2024) The impact of the ECB's unconventional monetary policy announcements on financial markets and investors' behaviour. Doctoral thesis, London Metropolitan University.
This research analyses the efficiency of financial indicators and investors' interactions with the ECB's unconventional monetary policy during the global economic and Euro debt crises (financial uncertainty events), Brexit, and COVID-19 (non-financial uncertainty events). This thesis comprises three empirical studies conducted to uncover financial indicators and investors' reactions during uncertain events.
Study 1 analyses the weak-form EMH on the developed financial market indicators during financial and non-financial uncertainty events to determine the efficiency of financial market indicators during these events. The main contribution of this study is to establish the trustworthiness and validity of the weak-form market efficiency model during financial and non-financial uncertainty events. It is a quantitative empirical study that uses the unit root tests and standard GARCH (1,1) models. The findings show that asset returns are weak-form inefficient. Suggesting that hardworking investors can make excess returns in the financial market during these events.
Study 2 investigates the semi-strong EMH on all the nineteen super sectors of the Industry Classification Benchmark (CIB) eurozone during financial and non-financial uncertainty events. It is a quantitative empirical study that uses GARCH models with surprise, one-day delay, and weekend effects variables to study volatility impact of the ECB monetary policy announcements. The results show conflicting results; however, overall results rejected the null hypothesis during uncertain events. The results suggest that the market responds slowly to new information available to the public.
Study 3 investigates private investors' and fund managers' investment behaviour to the ECB's monetary policy announcements in the financial markets during financial and non-financial uncertainty events. The main contribution of this study is the development pattern that identifies the preferences of private investors and fund managers when choosing financial assets to add to their portfolios during uncertain events. It is a qualitative empirical study that uses interpretative analysis for ten respondents. The results show that private investors are more likely to be influenced by the ECB's monetary policy announcements than fund managers, who follow fund allocation instructions, increasing confidence and self-control in their investment decisions.
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