Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/204814
Authors: 
Hayo, Bernd
Henseler, Kai
Rapp, Marc Steffen
Year of Publication: 
2019
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics 19-2019
Abstract: 
We examine howthe verbal complexity of ECB communications affectsfi-nancial market trading based on high-frequency data fromEuropean stock index futures trading. Studying the 34 events between May 2009 and June 2017, during which the ECB Governing Council press conferences covered unconventional monetary policy measures, and using the Flesch-Kincaid Grade Level to measure the verbal complexity of introductory statements to the press conferences, we find that more complex communications are associated with a lower level of contemporaneous trading. Increasing complexity of introductory statementsleads to a temporal shift of trading activity towards the subsequent Q&A session, which suggests that Q&A sessions facilitate market participants' information processing.
Subjects: 
ECB
central bank communication
textual analysis
linguistic complexity
readability
financial markets
European stock markets
JEL: 
D83
E52
E58
G12
G14
Document Type: 
Working Paper

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