macroeconomics, interest-ratesI’m writing a paper about the relationship between the ECB interest rates announcements and the stock market. I was inspired by an academic paper by Kuttner & Bernanke in which they analyze the relationship between the interest rate announcements and the US stock market returns. They used the CRSP value-weighted index returns as benchmark.
What benchmark index should I use if I want to study the relationship between the ECB announcements and the European stock market?
I thought about the euronext 100. What do you think about it? Is it correct?
Or is there a corresponding index to the CRSP index in Europe?
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