TY - UNPD A1 - Frederik, Neugebauer T1 - ECB announcements and stock market volatility N2 - 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. T3 - WHU – Working Paper Series in Economics - WP 20/02 KW - Europäische Zentralbank KW - European Central Bank KW - EZB KW - ECB KW - Ankündigung KW - Announcement KW - Aktienmarkt KW - Stock market KW - Volatilität KW - Volatility Y1 - 2020 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/802 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-8023 PB - WHU - Otto Beisheim School of Management CY - Vallendar ER -