Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers

Using textual analysis and high-frequency financial data, this letter emphasizes the informa-tiveness of the different communication phases of the ECB press conference, the Introductory Statement and the Questions & Answers, for market participants. Our results show that, while the tone of the Introductory Statement brings valuable information to stock market participants, the Questions & Answers were mostly informative after the Global Financial Crisis. Moreover, the announcement of unconventional measures triggers stronger reaction from market participants, particularly during the Questions & Answers.