The Effect of G20 Summits on Global Financial Markets

47 Pages Posted: 3 Jul 2014

See all articles by Marco Lo Duca

Marco Lo Duca

European Central Bank (ECB)

Livio Stracca

European Central Bank (ECB)

Date Written: February 18, 2014

Abstract

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. In this paper we run an event study to test whether G20 meetings at ministerial and Leaders level have had an impact on global financial markets. We focus on the period from 2007 to 2013, looking at equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis. Our main finding is that G20 summits have not had a strong, consistent and durable effect on any of the markets that we consider, suggesting that the information and decision content of G20 summits is of limited relevance for market participants.

Keywords: G20, global financial markets, event studies, volatility, global governance, financial crisis

JEL Classification: G14, G15, F53

Suggested Citation

Lo Duca, Marco and Stracca, Livio, The Effect of G20 Summits on Global Financial Markets (February 18, 2014). ECB Working Paper No. 1668, Available at SSRN: https://ssrn.com/abstract=2397893 or http://dx.doi.org/10.2139/ssrn.2397893

Marco Lo Duca (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Livio Stracca

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

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