Work detail

The impact of ECB communication on selected financial markets in eurozone

Author: Bc. Veronika Luková
Year: 2017 - summer
Leaders: Ing. Michala Moravcová
Consultants:
Work type: Bachelors
Language: Czech
Pages: 59
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185482/
Abstract: This thesis investigates the impact of the European central bank communication and macroeconomic news
announcements on the price and volatility of selected financial markets. We examine the stock markets of
Germany and countries of PIGS (Portugal, Italy, Greece, Spain), we selected the stock indices as the financial
assets, we employed the GARCH (1,1) and EGARCH (1,1) models. Main result was that the communication of
ECB has significant impact on the volatility of all examined stock markets. Volatilities of German and Italian
stock markets are the most influenced ones. Volatility of Portugal stock market is the least influenced one. The
ECB’s communication affects also the level of examined stock markets except Portugal stock market. Our results
also confirmed that the macroeconomic announcements have significant impact on the volatility, but they
have no fundamental impact on the level of these stock markets.

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF