The impact of ECB macro-announcements on bid–ask spreads of European blue chips
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DOI: 10.1016/j.jempfin.2015.02.005
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- Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
- Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Babalos, Vassilios & Wohar, Mark E., 2021. "Day-of-the-week effect and spread determinants: Some international evidence from equity markets," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 268-288.
- Smales, Lee A., 2016. "Order aggressiveness of different broker-types in response to monetary policy news," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 367-383.
- Wang Tianqiong & Shu Yang & Shamila Saddique, 2017. "Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 631-640.
- Berk, Ales S. & Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2017. "Psychological price barriers in frontier equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 1-14.
- Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
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More about this item
Keywords
Market microstructure; Transaction costs; Bid–ask spreads; ECB; Announcement effects;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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