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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

captures information other than monetary policy risk …

Persistent link: https://www.econbiz.de/10012851441

Does joining the S&P 500 index hurt firms?

Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...

Persistent link: https://www.econbiz.de/10012263191

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...

Persistent link: https://www.econbiz.de/10012131511

Implementing the panel event study

Clarke, Damian; Tapia Schythe, Kathya - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012256137

News versus market sentiments : impact of monetary policy announcement on developed and developing countries' stock market performance

Ansari, Jazib Ahmed; Siddiqui, Danish Ahmed - In: Journal of entrepreneurial finance : JEF ; official … 22 (2020) 1, pp. 61-93

This paper investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five...

Persistent link: https://www.econbiz.de/10012390762

Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

Boudt, Kris; Petitjean, Mikael - In: Journal of financial markets 17 (2014), pp. 121-149

Persistent link: https://www.econbiz.de/10010437262

Black swan events and COVID-19 outbreak : sector level evidence from the US, UK, and European stock markets

Ahmad, Wasim; Kutan, Ali Mustafa; Gupta, Smarth - In: International review of economics & finance : IREF 75 (2021), pp. 546-557

Persistent link: https://www.econbiz.de/10012692797

Impact of public news sentiment on stock market index return and volatility

Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Persistent link: https://www.econbiz.de/10012629835

Behaviour of Johannesburg Stock Exchange all share index returns : an asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Owusu Junior, Peterson - In: Spoudai : journal of economics and business 68 (2018) 1, pp. 26-42

remaining unresponsive for a large part to positive news. For investors this has implications for trading strategies and risk … management with respect to equity portfolio risk and returns on the stock exchange. Bad news reaching the market can destabilize … their portfolios. Risk mitigating actions by way of 'hedging' against the noise in the news is warranted. …

Persistent link: https://www.econbiz.de/10011843965

The effect of Dow Jones industrial average index component changes on stock returns and trading volumes

Lin, Eric C. - In: The international journal of business and finance … 12 (2018) 1, pp. 81-92

Persistent link: https://www.econbiz.de/10011856291

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