Reaction of EU stock markets to ECB policy interventions
by Dimitrios I. Vortelinos; Konstantinos Gkillas
International Journal of Banking, Accounting and Finance (IJBAAF), Vol. 10, No. 1, 2019

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).

Online publication date: Fri, 26-Apr-2019

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