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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange
Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167
Persistent link: https://www.econbiz.de/10009713176
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Estimating cross-sectional regressions in event studies with conditional heteroskedasticity and regression designs that have leverage
Karafiath, Imre - In: International journal of managerial finance : IJMF 10 (2014) 4, pp. 418-431
Persistent link: https://www.econbiz.de/10010411856
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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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The business cycle and impacts of economic news on financial markets
Cakan, Esin - In: Journal of business & economics research 10 (2012) 6, pp. 385-390
Persistent link: https://www.econbiz.de/10009567443
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News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz; Yang, Xiye - In: Journal of financial econometrics 21 (2023) 5, pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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Uncovering the effect of news signals on daily stock market performance : an econometric analysis
Raza, Shahid; Sun, Baiqing; Kay-Khine, Pwint; Kemal, … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-25
The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...
Persistent link: https://www.econbiz.de/10014419406
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Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Wang, Cheng; Bouri, Elie; Xu, Yahua; Zhang, Dingsheng - In: Energy economics 127 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014489965
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 1991
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
Persistent link: https://www.econbiz.de/10012475263
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 2009
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
Persistent link: https://www.econbiz.de/10012767711
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Abnormal volatility in seasoned equity offerings during economic disruptions
Prasad, Mason; Bakry, Walid; Estela Varua, Maria - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012814929