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ECB announcements and stock market volatility

  • 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.

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Metadaten
Author:Neugebauer Frederik
URN:urn:nbn:de:hbz:992-opus4-8023
Series (Serial Number):WHU – Working Paper Series in Economics (WP 20/02)
Publisher:WHU - Otto Beisheim School of Management
Place of publication:Vallendar
Document Type:Working Paper
Language:English
Date of Publication (online):2020/05/04
Date of first Publication:2020/05/04
Publishing Institution:WHU - Otto Beisheim School of Management
Release Date:2020/05/04
Tag:Aktienmarkt; Ankündigung; EZB; Europäische Zentralbank; Volatilität
Announcement; ECB; European Central Bank; Stock market; Volatility
Page Number:55
Institutes:WHU Economics Group / Chair of Monetary Economics
JEL-Classification:E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E58 Central Banks and Their Policies
G Financial Economics / G1 General Financial Markets / G12 Asset Pricing; Trading volume; Bond Interest Rates
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
Licence (German):Copyright for this publication