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The link between financial markets and the macroeconomy : evidence from survey data
Vrugt, Evert Barteld - 2009
Persistent link: https://www.econbiz.de/10003905520
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Asia-Pacific stock return predictability and market information flows
Lin, Chien-Chih - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 658-671
Persistent link: https://www.econbiz.de/10011403848
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Information inertia
Condie, Scott; Ganguli, Jayant; Illeditsch, Philipp Karl - 2015
Persistent link: https://www.econbiz.de/10011393178
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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 …
Persistent link: https://www.econbiz.de/10011344170
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How are shorts informed? : short sellers, news, and information processing
Engelberg, Joseph; Reed, Adam V.; Ringgenberg, Matthew C. - In: Journal of financial economics 105 (2012) 2, pp. 260-278
Persistent link: https://www.econbiz.de/10009666835
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Information inertia
Condie, Scott; Ganguli, Jayant; Illeditsch, Philipp Karl - 2012
Persistent link: https://www.econbiz.de/10009619230
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Public information arrival : price discovery and liquidity in electronic limit order markets
Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of banking & finance 37 (2013) 4, pp. 1148-1159
Persistent link: https://www.econbiz.de/10009716239
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …
Persistent link: https://www.econbiz.de/10011446937
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Identification of information networks in stock markets
Baltakienė, Margarita; Kanniainen, Juho; Baltakys, … - In: Journal of economic dynamics & control 131 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012818145