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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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2018
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| 在線閱讀: | 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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