How much do the central bank announcements matter on financial market? Application of the rule-based trading system approach

Brzeszczyński, Janusz; Gajdka, Jerzy; Schabek, Tomasz; Kutan, Ali M.

doi:10.1016/j.eswa.2021.115201

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2023

2024

Publication Types

Select...

Article3

Relationship

Self Cite0

Independent3

Authors

Journals

Cited by 3 publications

(1 citation statement)

References 57 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Studies find that the tone of ECB communication provides valuable information during the PC, and that it can be especially useful in predicting stock prices (Brzeszczyński et al, 2021). Against this background, we proceed in two steps: First, we use a bag-of-words approach to convert the qualitative information contained in the IS and the Q&A into a quantitative indicator that measures the degree of hawkish and dovish tone for the 227 ECB PCs held from January 1999 until December 2019.…”

Section: Introductionmentioning

confidence: 99%