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Industry information diffusion and the lead-lag effect in stock returns

Hou, Kewei - In: The review of financial studies 20 (2007) 4, pp. 1113-1138

Persistent link: https://www.econbiz.de/10003554486

Industry information diffusion and the lead-lag effect in stock returns

Hou, Kewei (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001905514

The US stock market at sector level : inflation news, 1990-2013

Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Applied econometrics and international development 18 (2018) 1, pp. 71-86

Persistent link: https://www.econbiz.de/10012000540

Information leadership in the advanced Asia-Pacific stock markets : return, volatility and volume information spillovers from the US and Japan

Kim, Suk-Joong - In: Journal of the Japanese and international economies : … 19 (2005) 3, pp. 338-365

Persistent link: https://www.econbiz.de/10003176646

ARCH effects, trading volume and the information flow interpretation : empirical evidence from the Chinese stock markets

Wang, Renzeng; Chen, Jean J. - In: Journal of Chinese economic and business studies 10 (2012) 2, pp. 169-191

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Information Flow Dependence in Return and Trading Volume Across Different Stocks

Michaelsen, Markus - 2019

We develop a multivariate return and trading volume model, where each stock's system is driven by latent information arrivals in continuous time. The arrivals contain idiosyncratic and cross-relevant information, which provides both return and trading volume dependence. Conditional on the...

Persistent link: https://www.econbiz.de/10012890130