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Uncovering the effect of news signals on daily stock market performance : an econometric analysis

Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...

Persistent link: https://www.econbiz.de/10014419406

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant …

Persistent link: https://www.econbiz.de/10012919223

No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange

Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167

Persistent link: https://www.econbiz.de/10009713176

Do sovereign rating announcements have an impact on regional stock market co-movements? : the case of Central and Eastern Europe

Sensoy, Ahmet; Eraslan, Veysel; Erturk, Mutahhar - In: Economic systems 40 (2016) 4, pp. 552-567

Persistent link: https://www.econbiz.de/10011668501

Examining the effects of news and media sentiments on volatility and correlation : evidence from the UK

Alomari, Mohammad; Al Rababa'a, Abdel Razzaq; El-Nader, … - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 280-297

Persistent link: https://www.econbiz.de/10013258478

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data

Lecarpentier-Moyal, Sylvie; Prat, Georges; … - 2013

Persistent link: https://www.econbiz.de/10010235589

Stock price movement around the merger announcements : insider trading or market anticipation?

Jain, Pawan; Sunderman, Mark A. - In: Managerial finance 40 (2014) 8, pp. 821-843

Persistent link: https://www.econbiz.de/10010393649

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …

Persistent link: https://www.econbiz.de/10014227600

Mergers and acquisitions : evidence on post-announcement performance from CEE stock markets

Zaremba, Adam; Płotnicki, Michał - In: Journal of business economics and management 17 (2016) 2, pp. 251-266

Persistent link: https://www.econbiz.de/10011516914

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