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

Pawel Baranowski, Hamza Bennani and Wirginia Doryń

Finance Research Letters, 2023, vol. 52, issue C

Abstract: Using textual analysis and high-frequency financial data, this letter emphasizes the informativeness 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.

Keywords: Central bank communication; Financial markets; Textual analysis (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007048

DOI: 10.1016/j.frl.2022.103528

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