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Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data
Entorf, Horst; Groß, Anne; Steiner, Christian - 2009
. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …
Persistent link: https://www.econbiz.de/10003814068
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2010 - This version: December 16, 2010
Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...
Persistent link: https://www.econbiz.de/10008902937
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10008822950
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Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …
Persistent link: https://www.econbiz.de/10015197299
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732
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The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Hautsch, Nikolaus - 2012
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …
Persistent link: https://www.econbiz.de/10013113491
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10003952800
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10008937568
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …
Persistent link: https://www.econbiz.de/10003947458
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai - 2017
three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …
Persistent link: https://www.econbiz.de/10012966248