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dc.contributor.authorApergis, Nicholas
dc.contributor.authorPragidis, Ioannis
dc.date.accessioned2019-02-22T10:00:22Z
dc.date.available2019-02-22T10:00:22Z
dc.date.issued2019-02-18
dc.identifier.citationApergis, N., and Pragidis, I. (2019) ‘Stock price reactions to wire news from the European Central Bank: evidence from changes in the sentiment tone and international market indexes’, Atlantic Economic Journal. doi: 10.1007/s11294-019-09721-y.en_US
dc.identifier.issn0197-4254
dc.identifier.doi10.1007/s11294-019-09721-y
dc.identifier.urihttp://hdl.handle.net/10545/623518
dc.description.abstractThis paper examines the link between changes in the sentiment tone with respect to the European Central Bank’s (ECB) announcements and stock returns. The analysis constructs a new index that describes the tone of the sentiment derived from these announcements, spanning the period January 2002 to June 2016. The novelty of this work relies on the development of a unique sentiment index associated with the messages conveyed by the ECB’s activities and the effect of this index on both the mean and the volatility of certain major international stock markets. In this context, the sentiment index is present in both the conditional mean and the volatility equations. The findings indicate a significant impact on both the mean and the volatility of returns, whereas the news sentiment/stock returns association increases in strength during the crisis period. The findings survive a robustness check based on the characteristics of the ECB governor’s personality.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherSpringer.en_US
dc.relation.urlhttps://link.springer.com/article/10.1007/s11294-019-09721-y#aboutcontenten_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectchanges in the tone of sentiment wire newsen_US
dc.subjectECB announcementsen_US
dc.subjectstock pricesen_US
dc.subjectinternational stock marketsen_US
dc.titleStock price reactions to wire news from the European Central Bank: evidence from changes in the sentiment tone and international market indexes.en_US
dc.typeArticleen_US
dc.identifier.eissn1573-9678
dc.contributor.departmentUniversity of Derbyen_US
dc.contributor.departmentDemocritus University of Thraceen_US
dc.identifier.journalAtlantic Economic Journal.en_US
dcterms.dateAccepted2018-12


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