The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips

49 Pages Posted: 31 Jul 2014  

Tobias Rühl

University of Duisburg-Essen

Michael Stein

University of Duisburg-Essen

Date Written: November 23, 2013

Abstract

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate or other important macroeconomic announcements by the ECB. Both Euro area stocks (of German DAX 30 and French CAC 40) and non-Euro stocks (of FTSE 100) have been used for comparative reasons. All results are robust to changes in specification and when being controlled for normal daytime-dependent frictions or other macroeconomic announcements.

Keywords: Market microstructure; transaction costs; bid-ask spreads; ECB; announcement effects

JEL Classification: G14, G18, E52

Suggested Citation

Rühl, Tobias and Stein, Michael, The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips (November 23, 2013). Available at SSRN: https://ssrn.com/abstract=2383781 or http://dx.doi.org/10.2139/ssrn.2383781

Tobias Rühl

University of Duisburg-Essen ( email )

Universitätsstr. 12
Essen, 45117
Germany

Michael Stein (Contact Author)

University of Duisburg-Essen ( email )

Universitätsst. 12
Duisburg, 45117
Germany

HOME PAGE: http://www.fmoek.wiwi.uni-due.de/

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