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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012423131
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Expectation Dispersion, Uncertainty, and the Reaction to News
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012492947
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Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010491388
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Does the 'Bund' dominate price discovery in Euro bond futures? Examining information shares
Fricke, Christoph; Menkhoff, Lukas - 2010
This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant -...
Persistent link: https://www.econbiz.de/10010270398
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Domestic or U.S. news: what drives Canadian financial markets?
Hayo, Bernd; Neuenkirch, Matthias - 2009
Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...
Persistent link: https://www.econbiz.de/10010271164
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Surprises in scheduled releases: why do they move the bond market?
Hess, Dieter E. - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10010297725
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Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets
Canto, Bea; Kräussl, Roman - 2006
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10010298339
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Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
Scholtus, Martin L.; van Dijk, Dick; Frijns, Bart - 2012
This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...
Persistent link: https://www.econbiz.de/10010326544
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Jumps and Information Asymmetry in the US Treasury Market
Dumitru, Ana-Maria; Urga, Giovanni - 2016
This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational asymmetry. We identify jumps using a combination of jump...
Persistent link: https://www.econbiz.de/10011446868
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Fast trading and the virtue of entropy: Evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012142144