Reaction of EU stock markets to ECB policy interventions

Dimitrios Vortelinos () and Konstantinos Gkillas

International Journal of Banking, Accounting and Finance, 2019, vol. 10, issue 1, 39-66

Abstract: This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE).

Keywords: abnormal returns; policy interventions; event study; financial crisis. (search for similar items in EconPapers)
Date: 2019
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