International Advances in Economic Research

, Volume 25, Issue 1, pp 91–112 | Cite as

Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes

  • Nicholas ApergisEmail author
  • Ioannis Pragidis


This paper examines the link between changes in the sentiment tone with respect to the European Central Bank’s (ECB) announcements and stock returns. The analysis constructs a new index that describes the tone of the sentiment derived from these announcements, spanning the period January 2002 to June 2016. The novelty of this work relies on the development of a unique sentiment index associated with the messages conveyed by the ECB’s activities and the effect of this index on both the mean and the volatility of certain major international stock markets. In this context, the sentiment index is present in both the conditional mean and the volatility equations. The findings indicate a significant impact on both the mean and the volatility of returns, whereas the news sentiment/stock returns association increases in strength during the crisis period. The findings survive a robustness check based on the characteristics of the ECB governor’s personality.


Changes in the tone of sentiment wire news ECB announcements Stock prices International stock markets 

JEL Classification

G01 E58 



The authors express their gratitude to the participants in the workshops organized by the University of Piraeus, Portsmouth University and Derby University. Many thanks also to Yen-Ju Hsu and to Valeri Sokolovski. Special thanks also to a reviewer of this journal, as well as to the Editor for giving us the opportunity to revise our work.

Supplementary material


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Copyright information

© International Atlantic Economic Society 2019

Authors and Affiliations

  1. 1.University of PiraeusPireasGreece
  2. 2.University of DerbyDerbyUK
  3. 3.Democritus University of ThraceKomotiniGreece

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