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Reaction of EU stock markets to ECB policy interventions

Author

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  • Dimitrios I. Vortelinos
  • Konstantinos Gkillas

Abstract

This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE).

Suggested Citation

  • Dimitrios I. Vortelinos & Konstantinos Gkillas, 2019. "Reaction of EU stock markets to ECB policy interventions," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 10(1), pages 39-66.
    • Handle: RePEc:ids:injbaf:v:10:y:2019:i:1:p:39-66
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    Cited by:

    1. Gkillas, Konstantinos & Konstantatos, Christoforos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2021. "Do economic news releases affect tail risk? Evidence from an emerging market," Finance Research Letters, Elsevier, vol. 40(C).
    2. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).

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