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Complexicity of ECB Communication and Financial Market Trading
We empirically examine how complexity of ECB communications affects financial market trading based on high-frequency data from European stock index futures trading. Our sample covers ECB press conferences between January 2009 and December 2017, during which un-conventional monetary policy measures (...
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| Publicado en: | MAGKS - Joint Discussion Paper Series in Economics (Band 19-2019) |
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| Autores principales: | , , , |
| Formato: | Artículo |
| Lenguaje: | inglés |
| Publicado: |
Philipps-Universität Marburg
2019
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| Materias: | |
| Acceso en línea: | Texto Completo PDF |
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| Sumario: | We empirically examine how complexity of ECB communications affects financial market trading based on high-frequency data from European stock index futures trading. Our sample covers ECB press conferences between January 2009 and December 2017, during which un-conventional monetary policy measures (UMPM) substantially increased communication com-plexity. Analysing the linguistic complexity of the introductory statements and differentiating between press conferences with and without UMPM-announcements, we find more complex communication, i.e. high linguistic complexity and UMPM-announcement, is associated with a lower level of contemporaneous trading activity. Moreover, complex communication leads to a temporal shift in trading activity towards the subsequent Q&A session, which suggests that Q&A sessions facilitate market participants’ information processing. Finally, we document a relatively lower similarity of unconventional monetary policy statements and argue that this might explain our findings. |
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| Descripción Física: | 47 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0614 |