Do you believe in Santa Claus (rally)? This study investigates the existence of the ‘Santa Claus rally’ in bank systemic risk. Christmas rally describes a persistent rise in the stock market during the final week of December through the first two trading days in January. In this article, we evaluate this calendar effect, focusing on systemic risk measures for global systemically important banks (GSIBs). First, we estimate the three popular systemic risk measures (DCoVaR, marginal expected shortfall [MES] and SRISK), and then we use an event study approach to analyse the reaction of risk. The results support the existence of Santa Claus. We find that the arrival of Santa Claus has a positive effect on systemic risk, that is, a reduction in bank systemic risk.
A Riskmas Carol
Matteo Foglia
Primo
;Eliana AngeliniSecondo
2020-01-01
Abstract
Do you believe in Santa Claus (rally)? This study investigates the existence of the ‘Santa Claus rally’ in bank systemic risk. Christmas rally describes a persistent rise in the stock market during the final week of December through the first two trading days in January. In this article, we evaluate this calendar effect, focusing on systemic risk measures for global systemically important banks (GSIBs). First, we estimate the three popular systemic risk measures (DCoVaR, marginal expected shortfall [MES] and SRISK), and then we use an event study approach to analyse the reaction of risk. The results support the existence of Santa Claus. We find that the arrival of Santa Claus has a positive effect on systemic risk, that is, a reduction in bank systemic risk.| File | Dimensione | Formato | |
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