The impact of the ECB's monetary policy surprises

The main purpose of this book is to analyze the ECB monetary policy shocks on the behavior of the PSI 20 stocks, which is a small market. We also seek to perform this analysis at the level of individual Portuguese capital market assets, and not only for the value of the index, as typically happens in the literature, in order to infer which type of assets are more sensitive to the monetary policy shocks conducted by the ECB. For this purpose, the analysis focuses on the reaction of the returns of the shares that compose the PSI 20 market in Portugal, for the period between January 2000 and March 2019, distinguishing a crisis and a non-crisis period.The results obtained from the analysis of the impact of surprises, through multiple linear regressions, allow us to conclude that monetary policy surprises have a positive effect on the stock market.