Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203554
Authors: 
Neugebauer, Frederik
Year of Publication: 
2019
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: International Finance Markets No. B11-V2
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.
Subjects: 
ECB announcements
asset price volatility
event study
JEL: 
E52
E58
G12
G14
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.