The cost of new information : ECB macro announcement impacts on bid-ask spreads of European blue chips

Tobias R. Rühl; Michael Stein

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate or other important macroeconomic announcements by the ECB. Both Euro area stocks (of German DAX 30 and French CAC 40) and non-Euro stocks (of FTSE 100) have been used for comparative reasons. All results are robust to changes in specification and when being controlled for normal daytime-dependent frictions or other macroeconomic announcements.

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Year of publication:	2013
Authors:	Rühl, Tobias R. ; Stein, Michael
Publisher:	Essen : RWI
Subject:	Market microstructure \| transaction costs \| bid-ask spreads \| ECB \| announcement effects \| Ankündigungseffekt \| Announcement effect \| Geld-Brief-Spanne \| Bid-ask spread \| Transaktionskosten \| Transaction costs \| EU-Staaten \| EU countries \| Marktmikrostruktur \| Eurozone \| Euro area \| Zentralbank \| Central bank

Extent:	Online-Ressource (47 S.) graph. Darst.
Series:	Ruhr economic papers. - Essen : RWI, ISSN 1864-4872, ZDB-ID 2278825-6. - Vol. 452
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zsfassung in dt. Sprache Systemvoraussetzungen: Acrobat Reader
ISBN:	978-3-86788-509-6
Other identifiers:	10.4419/86788509 [DOI] hdl:10419/88750 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G18 - Government Policy and Regulation ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010211906