This paper investigates the impact of the European Central Bank's unconventional monetary surprises on major European stock markets. Three measures for surprises are used: (a) the change in domestic 10‐year government bond yields, (b) the change in the spread between German and Italian (Spanish) 10‐year bond yields, and (c) the change in yields of a safe euro‐denominated asset, such as German bonds. I show that unconventional monetary policy surprises significantly influence stock returns. For instance, monetary decisions that cause a decrease in Italian (Spanish) sovereign spread led to an increase in the stock returns. In addition, I find that a positively surprising shock—a fall in the domestic bond yield and an increase in German interest rates—leads to higher stock returns. Finally, sovereign spreads seemed to have larger effects on stock returns both during crisis and postcrisis years.

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