Publikationsserver
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 (...
में बचाया:
| में प्रकाशित: | MAGKS - Joint Discussion Paper Series in Economics (Band 19-2019) |
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| मुख्य लेखकों: | , , , |
| स्वरूप: | लेख |
| भाषा: | अंग्रेज़ी |
| प्रकाशित: |
Philipps-Universität Marburg
2019
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| विषय: | |
| ऑनलाइन पहुंच: | पीडीएफ पूर्ण पाठ |
| टैग: |
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| सारांश: | 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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| भौतिक वर्णन: | 47 Seiten |
| आईएसएसएन: | 1867-3678 |
| डिजिटल ऑब्जेक्ट पहचानकर्ता: | 10.17192/es2024.0614 |