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Article Dans Une Revue (Article De Synthèse) Finance Research Letters Année : 2023

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

Pawel Baranowski
Wirginia Doryń
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-04145785 , version 1 (29-06-2023)

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Pawel Baranowski, Hamza Bennani, Wirginia Doryń. Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers. Finance Research Letters, 2023, 52, pp.103528. ⟨10.1016/j.frl.2022.103528⟩. ⟨hal-04145785⟩
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