Author: Gulinuer Azhati
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Petko S. Kalev
Publisher:
ISBN:
Category :
Languages : en
Pages : 36

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Book Description
This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.

Author: Calum Stewart Robertson
Publisher:
ISBN:
Category :
Languages : en
Pages : 27

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The efficient market hypothesis states that an efficient market incorporates all available information to provide an accurate valuation of an asset at any given time. Most trading models rely only on numerical information such as return, volatility, and volume to forecast the value of an asset. However, the market is also influenced by the occurrence of textual information in the form of analyst recommendations, annual reports, macroeconomic news, and press announcements. A plethora of research has analysed how markets react to macroeconomic news both intraday and in the longer term. However, asset specific news is far more common than macroeconomic news and little research has evaluated the intraday market reaction to this type of news. In this paper we analyse how assets on the US, UK and Australian stock markets react after news deemed relevant by the Bloomberg Professionalreg; service has been released. To our knowledge this is the most comprehensive evaluation of the intraday effect of asset specific news on the stock market. We find strong evidence that these markets react quickly and decisively to asset specific news throughout the day. We also find evidence of intraday seasonality's in these markets, which effect the markets reaction to news.

Author: Hans R. Stoll
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 88

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Author: David Lee Kuo Chuen
Publisher: Academic Press
ISBN: 0128010630
Category : Business & Economics
Languages : en
Pages : 531

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Book Description
Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. - Presents the only micro- and market-related analysis of pan-Asian finance available today - Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries - Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

Author: Ali F. Darrat
Publisher:
ISBN:
Category :
Languages : en
Pages : 13

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We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.

Author: Tobias Rühl
Publisher:
ISBN:
Category :
Languages : en
Pages : 32

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Book Description
In this study, we analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. While an index-based analysis provides expected outcomes of differing importance of macro-economic announcements, we provide first evidence on stock-specific reactions. The study further contributes by disentangling stock-specific impacts from overall market reactions. A spread analysis reveals that return volatility affects the spread size positively, and that spreads are systematically higher directly after news releases. This is followed by structurally lower spreads, indicating quickly decreasing asymmetric information in the market after announcements. Additionally, spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected. This points at the importance of the analysis of news events beyond return and volatility analyses.

Author: Ronald W. Masulis
Publisher:
ISBN:
Category :
Languages : en
Pages : 42

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Author: Robert A. Ariel
Publisher: Palala Press
ISBN: 9781379114314
Category : History
Languages : en
Pages : 52

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Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Author: Wolfgang Karl Härdle
Publisher: Springer
ISBN: 3662544865
Category : Business & Economics
Languages : en
Pages : 369

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Book Description
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.