Volume, volatility, and public news announcements

Volume, volatility, and public news announcements

We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the...

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Bibliographic Details
Main Authors: BOLLERSLEV, Tim, LI, Jia, XUE, Yuan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Model Construction and Estimation
Model Evaluation
Validation and Selection
Asset Pricing
Trading volume
Bond Interest Rates
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2584
https://ink.library.smu.edu.sg/context/soe_research/article/3583/viewcontent/VolumeVol_PNA_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2584
https://ink.library.smu.edu.sg/context/soe_research/article/3583/viewcontent/VolumeVol_PNA_sv.pdf

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