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

被引：4

作者：

Baranowski, Pawel ^{[1
]}

Bennani, Hamza ^{[2
,3
]}

Doryn, Wirginia ^{[1
]}

机构：

[1] Univ Lodz, Lodz, Poland

[2] Nantes Univ, Nantes, France

[3] Nantes Univ, IAE Erdre, Chemin la censive tertre, F-44322 Nantes, France

来源：

FINANCE RESEARCH LETTERS | 2023年 / 52卷

关键词：

Central bank communication; Financial markets; Textual analysis;

D O I：

10.1016/j.frl.2022.103528

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：5

共 10 条

[1] Measuring euro area monetary policy [J].