Complexicity of ECB Communication and Financial Market Trading

We empirically examine how complexity of ECB communications affects financial market trading based on high-frequency data from European stock index futures trading. Our sample covers ECB press conferences between January 2009 and December 2017, during which un-conventional monetary policy measures (UMPM) substantially increased communication com-plexity. Analysing the linguistic complexity of the introductory statements and differentiating between press conferences with and without UMPM-announcements, we find more complex communication, i.e. high linguistic complexity and UMPM-announcement, is associated with a lower level of contemporaneous trading activity. Moreover, complex communication leads to a temporal shift in trading activity towards the subsequent Q&A session, which suggests that Q&A sessions facilitate market participants’ information processing. Finally, we document a relatively lower similarity of unconventional monetary policy statements and argue that this might explain our findings.

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Created: 2019Issued: 2024-01-19

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Is part of: es/2023/0167

DOI

https://doi.org/10.17192/es2024.0614

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Fachbereich Wirtschaftswissenschaften

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eng

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Article

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ECBEuropean stock marketscentral bank communicationtextual analysisfinancial marketslinguistic complexityreadability

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330

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https://rightsstatements.org/vocab/InC/1.0/

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https://open.uni-marburg.de/handle/10.17192/es.2024.0614

Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen; Zahner, Johannes: Complexicity of ECB Communication and Financial Market Trading. In: , Jg. (2024-01-19), . DOI: https://doi.org/10.17192/es2024.0614.

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This item has been published with the following license: In Copyright

Complexicity of ECB Communication and Financial Market Trading

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