Eurozone Stock Market Reactions to Unexpected ECB Monetary Policy Announcements
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Louvain School of Management (UCL); University of Grenoble
May 6, 2011
Brussels Economic Review, Vol. 55, No. 2
To examine the Eurozone stock market reactions to European Central Bank (ECB) monetary policy announcement surprises, we study the effect of unexpected changes in the ECB's main refinancing rate on aggregate and sectorial Eurozone equity returns. We also analyse the results according to varying business conditions. We estimate unexpected changes on the basis of the market's expectations released in the financial press just before the monetary policy announcement. Using an event study methodology for the 1999-2008 period, we found that the impact of ECB monetary policy surprise is not significant for Euro-zone stock markets. However, we find a significant stock market reaction around unexpected ECB monetary policy announcements when we account for business conditions.
Keywords: Monetary Policy, Stock Prices, Event Study, ECB
JEL Classification: E52, E58, G14Accepted Paper Series
Date posted: May 16, 2011 ; Last revised: February 10, 2013
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