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Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers

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  • Baranowski, Pawel
  • Bennani, Hamza
  • Doryń, Wirginia

Abstract

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.

Suggested Citation

  • Baranowski, Pawel & Bennani, Hamza & Doryń, Wirginia, 2023. "Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007048
    DOI: 10.1016/j.frl.2022.103528
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    References listed on IDEAS

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    1. Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring euro area monetary policy," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 162-179.
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    Cited by:

    1. Nie, Li & Wang, Yulong & Shi, Kai, 2025. "Financial market responses to the policy language of forward guidance: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 317-335.
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    3. Sinem Kandemir & Peter Tillmann, 2023. "Not all ECB meetings are created equal," MAGKS Papers on Economics 202312, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. Wang, Yanning & Wang, Xichen, 2024. "The role of central bank communication in the long-term stock-bond correlations: Evidence from China," Finance Research Letters, Elsevier, vol. 67(PB).

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    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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