The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis
Journal of Empirical Finance, Forthcoming
12 Pages Posted: 14 Dec 2012 Last revised: 3 Jan 2017
Date Written: December 15, 2015
Abstract
We quantify all statements by major European politicians reported by Reuters during the August 2011 to December 2011 period and show that political communication significantly affects European stock and bond markets as well as the EURUSD exchange rate. Communication with respect to Italy induces the strongest market reactions. Financial markets consider the German bond market a safe haven.
Keywords: Political statements, high-frequency response, austerity measures, joint liability
JEL Classification: E43, E62, G01, G12, C20
Suggested Citation: Suggested Citation
Conrad, Christian and Zumbach, Klaus, The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis (December 15, 2015). Journal of Empirical Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2188358 or http://dx.doi.org/10.2139/ssrn.2188358
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.