We use high-frequency tick data to study stylized facts of the return and volatility dynamics of the nine most liquid cryptocurrencies. Factor structures exist in both returns and volatility, but the explanatory power from the common factor is much stronger for volatility. The factor structures...

This paper studies the impact of public mood, measured by Twitter messages, on the cross-section of U.S. stock returns. Our Twitter-based mood measure is free of endogeneity from financial market influence and distinct from the weather proxy or sentiment indices more commonly used in existing...

Financialization has tightened the links between the oil market and other major financial markets, but their relationships remain poorly understood. In this paper, we quantify the heterogeneous return spillovers from the oil market to other major financial markets in the short, medium and long...

Investors who use biased information from news media subsequently tend to make irrational decisions about acquiring firm-specific information compared to rational expectations. This model of information acquisition yields testable predictions that are verified by using a novel dataset. First,...

We categorize expansionary monetary policies based on interest rates, monetary easing, and liquidity decisions. We find that the stock market reacts positively to liquidity policy announcements by a more significant margin during and after the COVID-19 at market and industry levels compared with...