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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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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
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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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 - 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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Smile in Motion : An Intraday Analysis of Asymmetric Implied Volatility
Wallmeier, Martin - 2015
We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … evolution of volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky … delta rule. On average, the impact of index return on implied volatility is 1.3 to 1.5 times stronger than the sticky strike …
Persistent link: https://www.econbiz.de/10013037094
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Sentiment dynamics and stock returns : the case of the German stock market
Lux, Thomas (contributor) - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...
Persistent link: https://www.econbiz.de/10003785005
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2010
This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...
Persistent link: https://www.econbiz.de/10008666530