Work detail

Communication of the European Central Bank and contagion on financial markets

Author: Mgr. Júlia Jonášová
Year: 2016 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 122
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/166297/
Abstract: The aim of this thesis is to assess the effect of central bank communication on joint
occurrence of extreme returns and on extreme movements shared by two stock
markets. The research concentrates on the following aspects: predictability of
increased share of countries experiencing extreme returns in the eurozone based on
the nature of policymaker’s statement and also a set of control variables, change in
probability of extreme returns joint occurrence after president’s speech, determinants
of joint occurrence when non-standard measures were announced and finally, effect
of crisis period. Additionally, determinants of shared extreme movements between
particular countries are examined. The results suggest that communication nature or
crisis are not significant predictors of extreme returns joint occurrence. Moreover,
markets seem to react jointly to ECB president’s speech only when they have
extremely high returns. Furthermore, markets jointly react on days of nonstandard
measures announcement differently. We also found that in the first quantile dovish
statements tend to increase returns above their mean in case of Greece and Germany,
and Greece and the UK. Rest of the pairs of countries have opposite reaction to
dovish tone and communication is significant in the 95th quantile for the pair
Germany-UK.
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