Journal ArticleDOI
Public Information Arrival and Volatility of Intraday Stock Returns
TLDR
This article employed firm-specific announcements as a proxy for information flows and investigated the information-volatility relation using high-frequency data from the Australian Stock Exchange, revealing a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns.Abstract:
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.read more
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Journal ArticleDOI
The Impact of Credibility on the Pricing of Managerial Textual Content
Elizabeth Demers,Clara Vega +1 more
TL;DR: In this article, the conditions under which managerial textual content that has the potential to be "cheap talk" is more influential in the price formation process have not been previously investigated.
Journal ArticleDOI
The Relationship between the Frequency of News Release and the Information Asymmetry: The Role of Uninformed Trading
TL;DR: This article showed that the degree of information asymmetry is lower for firms with more frequent news releases, and that the intensity of uninformed trading increases much more than that of informed trading.
Journal ArticleDOI
How does Trading Volume Affect Financial Return Distributions
TL;DR: The authors examined the relationship between trading volume and the higher moments of returns in 18 international equity and currency markets and found that trading volume is consistent with trading volume being a source of heteroskedasticity in asset returns.
Journal ArticleDOI
Bitcoin Market Microstructure
TL;DR: In this paper, the microstructure of various bitcoin markets with respect to liquidity and private information processing is investigated, and the markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24 hours trading period.
Journal ArticleDOI
The impact of macroeconomic news on exchange rate volatility
TL;DR: In this article, the impact of scheduled US and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier Form method.
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