Abstract

http://ssrn.com/abstract=267068
 
 

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The Stock Market Performance of the Central Banks of Belgium and Japan


Rezaul Kabir


University of Twente - Department of Business Administration

Lawrence G. Goldberg


University of Miami - Department of Finance

July 2001


Abstract:     
Most central banks issue stock that is held by the government and/or commercial banks and is not tradable. In contrast, stocks of the central banks of Belgium and Japan are traded on the Brussels and Tokyo stock exchanges. The purpose of the paper is to examine this unique phenomenon of stock market valuation of central banks. Our analysis shows that shares of these two central banks have performed poorly. We also investigate the factors affecting central bank stock returns and find that the stock market return is the only statistically significant determinant. Neither the assets held by the central bank nor the country's macroeconomic factors show strong and stable relationships with central bank stock returns. An event study using recent data from Japan shows that the effect of certain macroeconomic events on the value of the Bank of Japan stock is statistically insignificant.

Number of Pages in PDF File: 29

Keywords: Central bank, stock market, long-run performance

JEL Classification: E58, G20, N20

working papers series


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Date posted: April 23, 2001  

Suggested Citation

Kabir, Rezaul and Goldberg, Lawrence G., The Stock Market Performance of the Central Banks of Belgium and Japan (July 2001). Available at SSRN: http://ssrn.com/abstract=267068 or http://dx.doi.org/10.2139/ssrn.267068

Contact Information

Rezaul Kabir (Contact Author)
University of Twente - Department of Business Administration ( email )
School of Management and Governance
P. O. Box 217
Enschede, 7500 AE
Netherlands
+31 53 489 3510 (Phone)
+31 53 489 2159 (Fax)
HOME PAGE: http://www.utwente.nl/mb/ba/staff/kabir
Lawrence G. Goldberg
University of Miami - Department of Finance
P.O. Box 248094
Coral Gables, FL 33124-6552
United States
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