Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for … the observed component of information flows, which allows to separate the effect of internet searches and information … published in newspapers. We analyse the effect of information from the internet using the Internet Search Volume from Google …

We construct a dynamic competitive model with futures markets where price volatility comes from information arrival and …? How do information arrival and noise trading interact to generate price volatility? What are the effects of futures … exist if information flows are serially correlated. If it exists, futures trading affects the time pattern of volatility …

volatility and information. The main contribution of this article is that we use two different proxy for the observed component … of information flow that allow to separate the effect of supply (News) and demand (Internet Search Volume) of information … the information flow; ii) variation in information demand has a significant effect on volatility of futures corn returns …

(1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information …

dividend shocks, which results in waves of optimism or pessimism that create high price volatility. The model shows that …