The impact of ECB macro-announcements on bid–ask spreads of European blue chips

Tobias R. Rühl and Michael Stein

Journal of Empirical Finance, 2015, vol. 31, issue C, 54-71

Abstract: Bid–ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro-announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate or other important macroeconomic announcements by the ECB. Both Euro area stocks (of German DAX 30 and French CAC 40) and non-Euro area stocks (of FTSE 100) have been used for comparative reasons. All results are robust to changes in specification and when being controlled for normal daytime-dependent frictions and stock-specific characteristics.

Keywords: Market microstructure; Transaction costs; Bid–ask spreads; ECB; Announcement effects (search for similar items in EconPapers)
JEL-codes: E52 G14 G18 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:31:y:2015:i:c:p:54-71

DOI: 10.1016/j.jempfin.2015.02.005

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