Causal coupling between European and UK markets triggered by announcements of monetary policy decisions

We investigate high-frequency reactions in the Eurozone stock market and
the UK stock market during the time period surrounding the European
Central Bank (ECB) and the Bank of England (BoE)'s interest rate
decisions assessing how these two markets react and co-move influencing
each other. The effects are quantified by measuring linear and non-linear
transfer entropy combined with a Bivariate Empirical Mode Decomposition
(BEMD) from a dataset of 1-minute prices for the Euro Stoxx 50 and the
FTSE 100 stock indices. We uncover that central banks' interest rate
decisions induce an upsurge in intraday volatility that is more pronounced
on ECB announcement days and there is a significant information flow
between the markets with prevalent direction going from the market where
the announcement is made towards the other.