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Macroeconomic news surprises, volume and volatility relationship in index futures market
Banerjee, Ameet Kumar; Pradhan, H. K.; Tripathy, Trilochan - In: Applied economics 52 (2020) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10012197389
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Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun; Zhao, Yang; Nan, Jiangxia - In: Review of derivatives research 25 (2022) 1, pp. 93-107
Persistent link: https://www.econbiz.de/10013191386
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Impact of Economic Crises on the Price Discovery Dynamics of Spot & Index Futures Market
Avinash - 2017
We investigate the effect of economic crises on the direction of information flow and price discovery efficiency of spot and futures market by considering the near month Nifty50 index futures and its corresponding spot index. The period of study commences from January, 2004 to December, 2015 and...
Persistent link: https://www.econbiz.de/10012952496
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Measuring the effects of unconventional policies on stock market volatility
Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione
Persistent link: https://www.econbiz.de/10012515678
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Asymmetric effects of economic policy uncertainty on stock returns under different market conditions : evidence from G7 stock markets
Huang, Wei-Qiang; Liu, Peipei - In: Applied economics letters 29 (2022) 9, pp. 780-784
Persistent link: https://www.econbiz.de/10013411772
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Stock price distributions and news : evidence from index options
Steeley, James M. - In: Review of quantitative finance and accounting 23 (2004) 3, pp. 229-250
Persistent link: https://www.econbiz.de/10002418334
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The impact of macroeconomic news on Chinese futures
Liu, Ruobing; Yang, Jianhui; Ruan, Chuan-Yang - In: International Journal of Financial Studies : open … 7 (2019) 4/63, pp. 1-14
level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic … variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor … on the futures´ return volatility is statistically significant. …
Persistent link: https://www.econbiz.de/10012150454
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COVID-induced economic uncertainty
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020
Persistent link: https://www.econbiz.de/10012204869