Whose Speeches Impact European Markets: ECBs’ or the National Central Banks’?

IIM Bangalore Research Paper No. 640

European Financial Management, 28, 1413– 1476. (2022).

82 Pages Posted: 22 Apr 2021 Last revised: 23 Aug 2023

See all articles by Abhinav Anand

Abhinav Anand

Indian Institute of Management Bangalore

Sankarshan Basu

Indian Institute of Management (IIMB), Bangalore

Jalaj Pathak

Great Lakes Institute of Management

Ashok Thampy

Indian Institute of Management Bangalore (IIMB)

Date Written: August 11, 2021

Abstract

We quantify the tone from the speeches of the ECB as well as that from the national central banks of six leading European nations, and analyze its role in explaining the returns of their respective stock market indices. Using innovations in financial text analysis introduced in Anand et al. (2021), we find evidence that except for France, all nations' stock indices are significantly associated with the tone of speeches delivered by either the national or the European Central Bank (or both). For France, the national stock index volatility is found to be associated with its national central bank speech tone.

Keywords: Central Bank Communication, Tone Analysis, Financial Text Analysis, Federal Reserve speeches

Suggested Citation

Anand, Abhinav and Basu, Sankarshan and Pathak, Jalaj and Thampy, Ashok, Whose Speeches Impact European Markets: ECBs’ or the National Central Banks’? (August 11, 2021). IIM Bangalore Research Paper No. 640, European Financial Management, 28, 1413– 1476. (2022)., Available at SSRN: https://ssrn.com/abstract=3831782 or http://dx.doi.org/10.2139/ssrn.3831782

Abhinav Anand (Contact Author)

Indian Institute of Management Bangalore ( email )

Bannerghatta Road
Bangalore, 560 076
India

Sankarshan Basu

Indian Institute of Management (IIMB), Bangalore ( email )

Bannerghatta Road
Bangalore, Karnataka 560076
India

Jalaj Pathak

Great Lakes Institute of Management ( email )

24 South Mada St.
Srinagar Colony, Saidapet
Chennai, 600083
India

Ashok Thampy

Indian Institute of Management Bangalore (IIMB) ( email )

Bannerghatta Road
Bangalore, Karnataka
India
91-80-26993280 (Phone)
91-80-26584050 (Fax)

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