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ECB Announcements and Stock Market Volatility

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  • Neugebauer, Frederik

Abstract

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 national stock market indices. Employing event study methods I find a stronger impact following the global financial crisis starting in 2007. All assets react similarly so that no national peculiarities arise. The effects also spill over to 7 non-EA markets analyzed.

Suggested Citation

  • Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc19:203554
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ECB announcements; asset price volatility; event study;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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