Abnormal stock returns of Greek banks during COVID-19: an event study

ABSTRACT

This paper aims to disentangle the impact of the COVID-19 crisis on four major Greek bank stocks that were traded in the Athens Stock Exchange during the period the pandemic begun. To this end we employ an event study methodology and estimate Cumulative Abnormal Returns (CARs) that stem from three key announcement dates. These dates include two monetary policy and a major health news announcement. The four banks we focus on are the National Bank of Greece, Eurobank, Alpha Bank and Piraeus Bank. We calculate abnormal stock returns in windows of ±10, ±5, ±2, ±1 and day of the announcements, and report that monetary policy announcements either do not affect stock performance or their effect is only mild, while health news have a positive impact on stock returns.

KEYWORDS:

• COVID-19
• banks
• stock market
• health news

JEL CLASSIFICATION:

• G10
• G14
• E58

Acknowledgments

We thank the editor and an anonymous referee of this journal for useful comments and suggestions. The usual disclaimer applies.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ An additional important monetary policy announcement considered in the analysis was January 22, 2015 (announcement of the first ECB asset purchase programme). Applying the model on that date reveals significant negative impact on Greek banks stock returns, as Greek debt was not eligible based on the criteria of the programme. Results for that particular date are not included for reasons of parsimony and are available upon reasonable request.

Additional information

Funding

This research has received funding from Neapolis University Pafos.