THE IMPACT OF THE ECB MONETARY POLICY ANNOUNCEMENTS ON EUROPEAN STOCK INDEX FUTURES RETURNS AND CORRELATIONS

The purpose of the study is to examine the ECB’s monetary policy decisions and their impacts on European stock index futures returns and correlations. During the sample period from January 2005 to December 2011 there was 82 target rate decisions, which consisted 19 target rate changes. In addition, six target rate decisions were treated as a surprise. Event study methodology was used to examine the impact of these target rate decisions to euro-zone (Euro Stoxx 50) and non euro-zone (OMX Stockholm 30 and FTSE 100) stock index futures returns and their correlation. In addition, the impact of the ECB’s target rate decisions was also examined under different business cycles. The ECB’s monetary policy decisions do have an impact on both euro-zone and non euro-zone stock index futures markets and their correlations. The main findings suggest that only changes and surprises in the target rate do have an impact. In addition, there were no significant differences between the euro-zone and non euro-zone futures returns.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format