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Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment

Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia - 2021

cryptocurrencies by market capitalization and COVID–19 news sentiment to capture cryptocurrency return and volatility dynamics. Results …

Persistent link: https://www.econbiz.de/10013212657

Public Information impact on Cryptocurrency trading activity : Evidence from News Media

Anamika, Anamika; Subramaniam, Sowmya - 2022

index and individual cryptocurrencies. This implies that positive news boosts the confidence of the investors, thereby … encouraging them to buy, and negative news creates uncertainty. The most dominant cryptocurrency, Bitcoin, experiences a … explains the increase in volatility with the positive news. However, Bitcoin’s volatility and liquidity are immune to the new …

Persistent link: https://www.econbiz.de/10013297757

Cryptocurrency market reactions to regulatory news

Auer, Raphael A.; Claessens, Stijn - 2020

Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations … regulatory category to which the news relates: events related to general bans on cryptocurrencies or to their treatment under …, and on restricting the interoperability of cryptocurrencies with regulated markets. News pointing to the establishment of …

Persistent link: https://www.econbiz.de/10012205633

Assessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentina

Hayo, Bernd; Neuenkirch, Matthias - 2008

We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets’ returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets....

Persistent link: https://www.econbiz.de/10003865937

Domestic or U.S. news : what drives Canadian financial markets?

Hayo, Bernd; Neuenkirch, Matthias - 2009

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

Persistent link: https://www.econbiz.de/10003849833

The impact of U.S. central bank communication on European and Pacific equity markets

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009

We examine the effects of federal funds target rate changes and all types of FOMC communication on European and Pacific equity market returns using a GARCH model. We show that both types of news have a significant statistical and economic impact, but that the effects are not symmetric: target...

Persistent link: https://www.econbiz.de/10003852262

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009

We investigate the relation between the EUR/HUF exchange rate on the one hand and news announcements and order flow on the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by considering a small open transition economy. We find that the...

Persistent link: https://www.econbiz.de/10003884519

The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10003875267

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Persistent link: https://www.econbiz.de/10011344170

When an event is not an event : the curious case of an emerging market

Bhattacharya, Utpal; Daouk, Hazem; Jorgenson, Brian; … - 1998

Shares trading in the Bolsa mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1996, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or...

Persistent link: https://www.econbiz.de/10009768852

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