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Information, Trading, and Volatility : Evidence from Firm-Specific News
Boudoukh, Jacob - 2017
What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …
Persistent link: https://www.econbiz.de/10012974737
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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Evaluation of Weak-Form Efficient Market Hypothesis in Zimbabwe Stock Exchange during Pandemic Period
Bonga, Wellington Garikai; Chimwai, Ledwin; Choga, Ireen - 2023
Stock markets, just like other sectors of businesses have been impacted by the COVID-19 pandemic. COVID-19 has caused things to change in some sort; behavior, culture, and economy. Investors’ behavior and expectations may have been shaken. Huge stock market dislocations may have occurred as...
Persistent link: https://www.econbiz.de/10014350838
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Long-term volatility shapes the stock market’s sensitivity to news
Conrad, Christian; Schölkopf, Julius; Tushteva, Nikoleta - 2023
We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good...
Persistent link: https://www.econbiz.de/10014440865
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Pairs Trading and Spread Persistence in the European Stock Market
Figuerola-Ferretti, Isabel - 2018
Econometrics 2010) to illustrate the dynamics of pairs trading. We underline the process by which a finite elasticity of demand for …
Persistent link: https://www.econbiz.de/10012932180
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Testing for Return Predictability with Co-Moving Predictors of Unknown Form
Xu, Ke-Li - 2018
Testing for constant expected returns and forecasting future returns necessitate the information beyond a single …
Persistent link: https://www.econbiz.de/10012919518
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
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Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times
Junttila, Juha-Pekka - 2017
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...
Persistent link: https://www.econbiz.de/10012963146
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BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets
Low, Rand Kwong Yew - 2016
Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or …
Persistent link: https://www.econbiz.de/10012989660
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The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market
Bedowska-Sojka, Barbara - 2017
strengthen as the stock market matures. The transaction costs on both markets show similar dynamics within the whole period …
Persistent link: https://www.econbiz.de/10012942376