ECB Announcements and Stock Market Volatility

Frederik Neugebauer

VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy from Verein für Socialpolitik / German Economic Association

Abstract: This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 national stock market indices. Employing event study methods I find a stronger impact following the global financial crisis starting in 2007. All assets react similarly so that no national peculiarities arise. The effects also spill over to 7 non-EA markets analyzed.

Keywords: ECB announcements; asset price volatility; event study (search for similar items in EconPapers)
JEL-codes: E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-mac, nep-mon and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc19:203554

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