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News as sources of jumps in stock returns : evidence from 21 million news articles for 9000 companies
Jeon, Yoontae; McCurdy, Thomas H.; Zhao, Xiaofei - 2021
Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including...
Persistent link: https://www.econbiz.de/10012886289
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A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364
Persistent link: https://www.econbiz.de/10011453520
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Something in the air : information density, news surprises, and price jumps
Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - In: Journal of international financial markets, … 53 (2018), pp. 50-75
Persistent link: https://www.econbiz.de/10011983755
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Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis
Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133
Persistent link: https://www.econbiz.de/10012016139
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Firm-specific information and systemic risk
Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493
Persistent link: https://www.econbiz.de/10012428956
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs
Hurwitz, Catalina I.; Mishra, Suchismita; Daigler, Robert T. - In: Algorithmic finance 9 (2022) 3/4, pp. 63-79
Persistent link: https://www.econbiz.de/10013459963