Reaction of EU stock markets to ECB policy interventions

Abstract

This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE).