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

Pawel Baranowski, Hamza Bennani and Wirginia Doryń

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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)
Date: 2023-03
New Economics Papers: this item is included in nep-big, nep-eec and nep-mon
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Published in Finance Research Letters, 2023, 52, pp.103528. ⟨10.1016/j.frl.2022.103528⟩

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Journal Article: Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04145785

DOI: 10.1016/j.frl.2022.103528

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