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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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| 发表在: | MAGKS - Joint Discussion Paper Series in Economics (Band 19-2019) |
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| Autoren: | , , , |
| 格式: | 文件 |
| 语言: | 英语 |
| 出版: |
Philipps-Universität Marburg
2019
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| 主题: | |
| 在线阅读: | PDF-Volltext |
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| 总结: | 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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| 实物描述: | 47 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0614 |