Complexity of ECB communication and financial market trading

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