The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis

Journal of Empirical Finance, Forthcoming

12 Pages Posted: 14 Dec 2012 Last revised: 3 Jan 2017

See all articles by Christian Conrad

Christian Conrad

Heidelberg University - Faculty of Economics and Social Studies

Klaus Zumbach

Heidelberg University - Faculty of Economics and Social Studies

Date Written: December 15, 2015

Abstract

We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects European stock and bond markets as well as the EURUSD exchange rate. Communication with respect to Italy induces the strongest market reactions. Financial markets consider the German bond market a safe haven.

Keywords: Political statements, high-frequency response, austerity measures, joint liability

JEL Classification: E43, E62, G01, G12, C20

Suggested Citation

Conrad, Christian and Zumbach, Klaus, The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis (December 15, 2015). Journal of Empirical Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2188358 or http://dx.doi.org/10.2139/ssrn.2188358

Christian Conrad (Contact Author)

Heidelberg University - Faculty of Economics and Social Studies ( email )

Bergheimer Strasse 58
Heidelberg, D-69115
Germany
+49 (0)6221 54 3173 (Phone)

HOME PAGE: http://www.uni-heidelberg.de/conrad

Klaus Zumbach

Heidelberg University - Faculty of Economics and Social Studies ( email )

Grabengasse 14
Heidelberg, D-69117
Germany

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