Kholodilin K, Montagnoli A, Napolitano O & Siliverstovs B (2009) Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view. Economics Letters, 105 (3), pp. 211-213. https://doi.org/10.1016/j.econlet.2009.08.006
This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.
Monetary policy; Stock markets; ECB
Economics Letters: Volume 105, Issue 3