Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips

Contents:

Author Info

  • Tobias R. Rühl
  • Michael Stein

    ()

Registered author(s):

    Abstract

    Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate or other important macroeconomic announcements by the ECB. Both Euro area stocks (of German DAX 30 and French CAC 40) and non-Euro stocks (of FTSE 100) have been used for comparative reasons. All results are robust to changes in specification and when being controlled for normal daytime-dependent frictions or other macroeconomic announcements.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://repec.rwi-essen.de/files/REP_13_452.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen in its series Ruhr Economic Papers with number 0452.

    as in new window
    Length: 47 pages
    Date of creation: Nov 2013
    Date of revision:
    Handle: RePEc:rwi:repape:0452

    Contact details of provider:
    Postal: Hohenzollernstraße 1-3, 45128 Essen
    Phone: (0201)8149-0
    Fax: (0201)8149-200
    Email:
    Web page: http://www.rwi-essen.de/
    More information through EDIRC

    Order Information:
    Web: http://www.rwi-essen.de/publikationen/

    Related research

    Keywords: Market microstructure; transaction costs; bid-ask spreads; ECB; announcement effects;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:rwi:repape:0452. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Weiler).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.