Abstract
We empirically examine how the complexity of ECB communications affects financial market trading based on high-frequency data from European stock index futures trading between 2009 and 2017. Analysing the linguistic complexity of the ECB’s introductory statements and differentiating between press conferences with and without announcements of unconventional monetary policy measures (UMPM), we find that more complex communication, i.e. high linguistic complexity and UMPM-announcement, is associated with a lower level of contemporaneous trading activity. Moreover, complex communication leads to a temporal shift in trading activity towards the subsequent Q&A session, which suggests that Q&A sessions facilitate market participants’ information processing.
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