Volume, volatility, and public news announcements

• Main Authors: BOLLERSLEV, Tim, LI, Jia, XUE, Yuan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2018
• 主題: Model Construction and Estimation; Model Evaluation; Validation and Selection; Asset Pricing; Trading volume; Bond Interest Rates; Econometrics
• 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

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...