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Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Qian, Ya; Tu, Jun; Petukhina, Alla; Chen, Zilin - 2021

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics … volatility modelling is justified in our specific calibration samples (2008 and 2013, respectively). However, our results reject …

Persistent link: https://www.econbiz.de/10013251599

How do macroeconomic news surprises affect round-the-clock price discovery of gold?

Sobti, Neharika; Sehgal, Sanjay; Ilango, Balakrishnan - In: International review of financial analysis 78 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10013253506

Pervasive underreaction : evidence from high-frequency data

Jiang, Hao; Li, Sophia Zhengzi; Wang, Hao - In: Journal of financial economics 141 (2021) 2, pp. 573-599

Persistent link: https://www.econbiz.de/10013259814

Accounting Quality, Information Risk and Implied Volatility around Earnings Announcements

Anagnostopoulou, Seraina C. - 2015

volatility around quarterly earnings announcements. Using US data during 1996-2010, we observe that lower (higher) accounting … quality significantly relates to higher (lower) levels of implied volatility (IV) around announcements. Worse accounting … significant impact on implied volatility behavior around earnings announcements …

Persistent link: https://www.econbiz.de/10013032188

Impact of Macroeconomic Announcements on US Equity Prices : 2009-2013

Nadler, Daniel - 2015

We examine returns of several US equity ETFs on the days of 18 major macroeconomic announcements for the period of January 2009 – July 2013. The ARMA GARCH model with external regression terms that describe announcement events and their surprises is used. We find that ISM Manufacturing...

Persistent link: https://www.econbiz.de/10013034613

Stock Market's responses to intraday investor sentiment

Seok, Sang Ik; Cho, Hoon; Ryu, Doojin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013187639

Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets

Alexander, Carol - 2020

A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776).When trading volumes are high, bitcoin futures on the Chicago Mercantile Exchange (CME) and -- until recently -- the Chicago Board Options Exchange (CBOE) lead...

Persistent link: https://www.econbiz.de/10012849349

Evaluating Analysts' Value : Evidence from Recommendations Around Stock Price Jumps

Jiang, George J. - 2010

Recent literature documents that the issuance of analyst recommendations tends to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use large discontinuous stock price changes, known as jumps, to proxy for...

Persistent link: https://www.econbiz.de/10013146733

How Information Transmits to Equity Markets : Earnings Announcements and Volatility

Gerlach, Jeffrey R. - 2010

find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an … intraday basis, a striking volatility spike stands out during the overnight period, implying that the earnings news is fully … reflected in the opening price. The continued high volatility during the first several minutes of trading seems to be driven by …

Persistent link: https://www.econbiz.de/10013146836

Policy Uncertainty, Bad News Disclosure, and Stock Price Crash Risk

Kim, Jeong-Bon; Tseng, Kevin; Wang, Jundong (Jeff); Xi, … - 2021

This paper documents that policy uncertainty reduces future stock price crash risk. Our tests show that this negative relation is more pronounced among firms with more short-sale constraints, with no actively traded credit default swap contracts, or with higher firm-level political risks. The...

Persistent link: https://www.econbiz.de/10013243260