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Granular information and sectoral movements

Author

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  • Jiang, Hao
  • Li, Sophia Zhengzi
  • Yuan, Peixuan

Abstract

This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of sector ETF. When we further incorporate the information from structural models, the resulting information signal has even stronger return predictability. These results support theories of granular and network origins of aggregate shocks.

Suggested Citation

  • Jiang, Hao & Li, Sophia Zhengzi & Yuan, Peixuan, 2025. "Granular information and sectoral movements," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    • Handle: RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100
    DOI: 10.1016/j.jedc.2024.105018
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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