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ECB Announcements and Stock Market Volatility

Frederik Neugebauer ()

No 20-02, WHU Working Paper Series - Economics Group from WHU - Otto Beisheim School of Management

Abstract: This paper documents that ECB announcements on monetary policy increase stock market volatility in the euro area (EA) using several volatility measures from January 1999 to December 2019. Employing event study methods, a more pronounced impact exists following the global financial crisis starting in 2007. All assets react similarly so that no national peculiarities arise. The effects also spill over to 12 non-EA markets analyzed. Stock markets are more sensitive to negative monetary policy news than to positive ones. Further weighting the announcements by financial market reactions, stock markets behave in a more heterogeneous way.

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)
Pages: 59 pages
Date: 2020-04-01
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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