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Overreaction and Underreaction on the Bucharest Stock Exchange

Stefanescu, Razvan - 2012

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

Persistent link: https://www.econbiz.de/10013107428

No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

Persistent link: https://www.econbiz.de/10013060597

Impact of public news sentiment on stock market index return and volatility

Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Persistent link: https://www.econbiz.de/10012629835

Stock market reactions to Brexit : case of selected CEE and SEE stock markets

Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14

volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …

Persistent link: https://www.econbiz.de/10011964063

Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market

Smales, Lee A. - 2013

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...

Persistent link: https://www.econbiz.de/10013092145

Choosing News Topics to Explain Stock Market Returns

Glasserman, Paul; Krstovski, Kriste; Laliberte, Paul-Robert - 2021

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of...

Persistent link: https://www.econbiz.de/10013223749

News Tone and Stock Return in Chinese Market

ge, Huimin; Zhang, Xiaoyan - 2022

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

Persistent link: https://www.econbiz.de/10013308962

The Arrival of News and Jumps in Stock Markets

Kanniainen, Juho - 2019

This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which...

Persistent link: https://www.econbiz.de/10012902444

The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility

Lee, Jieun - 2019

macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility … increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also … more substantial impact on implied volatility than other announcements, even after controlling for news surprise components …

Persistent link: https://www.econbiz.de/10012895281

Impact of the Domestic and the US Macroeconomic News on the Romanian Stock Market

Stefanescu, Razvan - 2012

This paper explores the effects of domestic and US macroeconomic announcement on the Romanian stock market. We found that some domestic macroeconomic announcement linked by the monetary policy had a consistent influence on the stock prices evolution. We also identify that some US macroeconomic...

Persistent link: https://www.econbiz.de/10013110361