Stock Price Reaction to ECB Communication: Introductory Statements Vs. Questions & Answers
Finance research letters(2023)
摘要
Using textual analysis and high-frequency financial data, this letter emphasizes the informativeness of the different communication phases of the ECB press conference, the Introductory Statement and the Questions & Answers, for market participants. Our results show that, while the tone of the Introductory Statement brings valuable information to stock market participants, the Questions & Answers were mostly informative after the Global Financial Crisis. Moreover, the announcement of unconventional measures triggers stronger reaction from market participants, particularly during the Questions & Answers.
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关键词
Central bank communication,Financial markets,Textual analysis
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