The European Central Bank's announcement effect on stock returns in Europe
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- Master of Science 
This study investigates how the European Central Bank has influenced European stock markets on the scheduled announcement of monetary policy decisions. Our findings conclude that the European Central Bank does not have a significant influence on major stock indices in Europe on scheduled announcement days. These findings are in sharp contrast to the documented influence the Federal Reserve has on their announcement days in Europe. However, the four investigated stock indices give significant and negative results four days before the scheduled announcement day for the European Central Bank. Furthermore, we do not find support for the following hypothesis: The European Central Bank’s announcement effect increase in periods of financial distress and the European Central Bank’s announcement effect is increasing over time.
Masteroppgave(MSc) in Master of Science in Business, Finance/Master of Science in Business - Handelshøyskolen BI, 2018