Whose speeches impact European markets: ECB's or the national central banks'?
量化欧洲央行及六国央行演讲语气，分析其对各自股指回报的影响，发现除法国外各国股指与央行演讲语气显著相关。
Abstract We quantify the tone from the speeches of the European Central Bank (ECB) as well as that from the national central banks of six leading European nations and analyze its role in explaining the returns of their respective stock market indices. Using recent innovations in financial text analysis, we find evidence that except for France, all nations' stock indices are significantly associated with the tone of speeches delivered by either the national banks or the ECB (or both). For France, the national stock index volatility is found to be associated with its national central bank speech tone.