Dokument
| Titel: | Complexicity of ECB Communication and Financial Market Trading |
| Autor: | Hayo, Bernd |
| Weitere Verfasser: | Henseler, Kai; Rapp, Marc Steffen; Zahner, Johannes |
| Veröffentlicht: | 2019 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0614 |
| DOI: | https://doi.org/10.17192/es2024.0614 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-19 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
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| central bank communication, textual analysis, readability, linguistic complexity, ECB, financial markets, European stock markets |
Summary:
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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