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Does market irrationality in the media affect stock returns?
Gibson, Rajna; Hemmens, Christopher; Trépanier, Mathieu - 2015
This paper investigates whether news suggestive of irrationality within financial markets have an impact on stock returns. We construct a lexicon of words for 'market irrationality' and score daily news articles based on the number and proportion of words they contain from the lexicon. We find...
Persistent link: https://www.econbiz.de/10011412095
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Media attention and the volatility effect
Blitz, David; Huisman, Rob; Swinkels, Laurens; Vliet, … - In: Finance research letters 36 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012483406
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Spot market and derivative segment of equity in India
Sharma, Dheeraj P.; Ahalawat, Shweta; Patro, Archana; … - In: Applied economics 54 (2022) 3, pp. 326-339
Persistent link: https://www.econbiz.de/10012874036
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Price discovery and volatility spillovers in commodity market : a review of empirical literature
Seth, Neha; Sidhu, Arpit - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 291-314
Persistent link: https://www.econbiz.de/10012510294
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Impact of individual stock derivatives introduction in India on its underlying spot market volatility
Nandy, Suparna; Chattopadhyay, Arup Kumar - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 109-133
Persistent link: https://www.econbiz.de/10011720262
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The effects of futures trading on stock market volatility
Hodgson, Allan; Pope, Peter - 1989
Persistent link: https://www.econbiz.de/10000829671
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Volume determination in stock and stock index futures markets : an analysis of arbitrage and volatility effects
Merrick, John J. - 1987
Persistent link: https://www.econbiz.de/10000741962
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An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
Grossman, Sanford J. - 1987
Persistent link: https://www.econbiz.de/10000730638
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Option prices and implied volatilities : an empirical analysis
Edey, Malcolm L.; Elliott, Graham - 1989
Persistent link: https://www.econbiz.de/10000775666
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Options & price uncertainty
Chichilnisky, Graciela; Dutta, Jayasri; Heal, Geoffrey - 1991
Persistent link: https://www.econbiz.de/10000826369