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Alexander Kurov

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.

    Mentioned in:

    1. Trading on Leaked Macroeconomic Data
      by noreply@blogger.com (Carola) in Quantitative Ease on 2015-07-08 22:14:00
    2. 'Trading on Leaked Macroeconomic Data'
      by Mark Thoma in Economist's View on 2015-07-08 15:39:09

Working papers

  1. Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.

    Cited by:

    1. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.

  2. Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.

    Cited by:

    1. Jieun Lee & Doojin Ryu, 2019. "The impacts of public news announcements on intraday implied volatility dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 656-685, June.
    2. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    3. James J. Angel & Douglas M. McCabe, 2018. "Insider Trading 2.0? The Ethics of Information Sales," Journal of Business Ethics, Springer, vol. 147(4), pages 747-760, February.
    4. Marmora, Paul, 2022. "Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    5. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    6. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    7. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    8. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    9. Kostas Bimpikis & Davide Crapis & Alireza Tahbaz-Salehi, 2019. "Information Sale and Competition," Management Science, INFORMS, vol. 67(6), pages 2646-2664, June.
    10. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
    11. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
    12. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    13. Evzen Kocenda & Michala Moravcova, 2016. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," Working Papers IES 2016/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
    14. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    15. Tim Bollerslev & Jia Li & Yuan Xue, 2016. "Volume, Volatility and Public News Announcements," CREATES Research Papers 2016-19, Department of Economics and Business Economics, Aarhus University.
    16. Fehrler, Sebastian & Hahn, Volker, 2020. "Committee Decision-Making under the Threat of Leaks," IZA Discussion Papers 13746, Institute of Labor Economics (IZA).
    17. Vilhelmsson, Anders, 2020. "Macro news and long-run volatility expectations," Knut Wicksell Working Paper Series 2020/1, Lund University, Knut Wicksell Centre for Financial Studies.
    18. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    19. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
    20. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
    21. Christopher F Baum & Alexander Kurov & Marketa W. Halova, 2013. "What do Chinese Macro Announcements Tell Us About the World Economy?," Boston College Working Papers in Economics 834, Boston College Department of Economics, revised 01 Jun 2015.
    22. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," CEE-M Working Papers hal-01954920, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    23. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    24. Henryk Gurgul & Christoph Mitterer & Tomasz Wójtowicz, 2021. "The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(3), pages 287-329, September.
    25. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
    26. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
    27. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
    28. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
    29. Rui Guo & Dun Jia & Xi Sun, 2023. "Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China," Review of Finance, European Finance Association, vol. 27(3), pages 1077-1118.
    30. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    31. Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2022. "Drift Begone! Release policies and preannouncement informed trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    32. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
    33. Niu, Zilong, 2020. "Essays in empirical asset pricing and international finance," Other publications TiSEM 986cefd5-4d2b-4d5f-be7a-2, Tilburg University, School of Economics and Management.
    34. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.
    35. James, Robert & Jarnecic, Elvis & Leung, Henry, 2022. "Who Values Economist Forecasts? Evidence From Trading in Treasury Markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    36. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
    37. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    38. Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
    39. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    40. Nicholas Apergis & Ioannis Pragidis, 2019. "Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 91-112, February.
    41. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
    42. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
    43. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
    44. Liao Xu & Xiangkang Yin & Jing Zhao, 2022. "Are the flows of exchange‐traded funds informative?," Financial Management, Financial Management Association International, vol. 51(4), pages 1165-1200, December.
    45. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
    46. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    47. Hao, Rubin & Liao, Guanmin & Ding, Wenhong & Guan, Wei, 2022. "The informativeness of regional GDP announcements: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 78-99.
    48. Chen Gu & Denghui Chen & Raluca Stan, 2021. "Investor sentiment and the market reaction to macroeconomic news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1412-1426, September.

  3. Christopher F Baum & Alexander Kurov & Marketa W. Halova, 2013. "What do Chinese Macro Announcements Tell Us About the World Economy?," Boston College Working Papers in Economics 834, Boston College Department of Economics, revised 01 Jun 2015.

    Cited by:

    1. Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
    2. Thomas Mathews, 2016. "The Effect of Chinese Macroeconomic News on Australian Financial Markets," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 53-61, December.
    3. Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
    4. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
    5. Chan, Kam Fong & Chhagan, Mahesh & Marsden, Alastair, 2017. "Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 37-54.
    6. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
    7. Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
    8. Muhammad Ishfaq & Zhang Bi Qiong & Syed Mehmood Raza Shah, 2017. "Global Macroeconomic Announcements and Foreign Exchange Implied Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 119-127.
    9. Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
    10. Robert N McCauley & Chang Shu, 2018. "Recent RMB policy and currency co-movements," BIS Working Papers 727, Bank for International Settlements.
    11. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
    12. Yu Wei & Lan Bai & Kun Yang & Guiwu Wei, 2021. "Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 17-39, January.
    13. Walid Bahloul & Rangan Gupta, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
    14. Hung, Ying-Shu & Lee, Chingnun & Chen, Pei-Fen, 2022. "China’s monetary policy and global stock markets: A new cointegration approach with smoothing structural changes," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 643-666.
    15. Jiang, Junhua & Piljak, Vanja & Tiwari, Aviral Kumar & Äijö, Janne, 2020. "Frequency volatility connectedness across different industries in China," Finance Research Letters, Elsevier, vol. 37(C).
    16. Huang, Xiaoyong & Yu, Cong & Chen, Yunping & Jia, Fei & Xu, Xiangyun, 2022. "Rigid payment breaking, default spread and yields of Chinese treasury bonds," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    17. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    18. Shekhar Hari Kumar & Vimal Balasubramaniam & Ila Patnaik & Ajay Shah, 2020. "Who cares about the Renminbi?," 2020 Papers pha1373, Job Market Papers.
    19. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Athanasios Tsagkanos, 2019. "Economic News Releases and Financial Markets in South Africa," Economies, MDPI, vol. 7(4), pages 1-13, November.
    20. Mukherjee, Abhiroop & Panayotov, George & Shon, Janghoon, 2021. "Eye in the sky: Private satellites and government macro data," Journal of Financial Economics, Elsevier, vol. 141(1), pages 234-254.
    21. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.

Articles

  1. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).

    Cited by:

    1. Rodriguez, Harold & Colombo, Jefferson, 2024. "Is bitcoin an inflation hedge?," MPRA Paper 120477, University Library of Munich, Germany.

  2. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).

    Cited by:

    1. Alexis Marchal, 2020. "Risk & returns around FOMC press conferences: a novel perspective from computer vision," Papers 2012.06573, arXiv.org, revised Jan 2021.
    2. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    3. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).

  3. Gu, Chen & Kurov, Alexander, 2020. "Informational role of social media: Evidence from Twitter sentiment," Journal of Banking & Finance, Elsevier, vol. 121(C).

    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Tanaka, Yoshitaka & Managi, Shunsuke, 2023. "Attention-Grabbing ESG," MPRA Paper 116786, University Library of Munich, Germany.
    3. Javier Gil-Bazo & Juan F. Imbet, 2022. "Tweeting for Money: Social Media and Mutual Fund Flows," Working Papers 1366, Barcelona School of Economics.
    4. Sumeet Lal & Abdul-Salam Sulemana & Trinh Xuan Thi Nguyen & Mostafa Saidur Rahim Khan & Yoshihiko Kadoya, 2023. "Information Sources for Investment Decisions: Evidence from Japanese Investors," IJFS, MDPI, vol. 11(4), pages 1-18, October.
    5. Qingbin Meng & Congyi Ju & Qinghua Huang & Song Wang, 2023. "The informativeness of investor communication with corporate insiders: Evidence from China," International Finance, Wiley Blackwell, vol. 26(2), pages 189-207, August.
    6. Suwan (Cheng) Long & Brian Lucey & Ying Xie & Larisa Yarovaya, 2023. "“I just like the stock”: The role of Reddit sentiment in the GameStop share rally," The Financial Review, Eastern Finance Association, vol. 58(1), pages 19-37, February.
    7. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Jing, Wei & Zhang, Xueyong, 2021. "Online social networks and corporate investment similarity," Journal of Corporate Finance, Elsevier, vol. 68(C).
    9. Fernando Díaz & Pablo A Henríquez, 2021. "Social sentiment segregation: Evidence from Twitter and Google Trends in Chile during the COVID-19 dynamic quarantine strategy," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-29, July.
    10. Wen Zhang & Yuting Yang & Huigang Liang, 2023. "A Bibliometric Analysis of Enterprise Social Media in Digital Economy: Research Hotspots and Trends," Sustainability, MDPI, vol. 15(16), pages 1-21, August.
    11. Xiaohong Shen & Gaoshan Wang & Yue Wang & Alfred Peris, 2021. "The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment," Discrete Dynamics in Nature and Society, Hindawi, vol. 2021, pages 1-14, December.
    12. Geng, Yuedan & Ye, Qiang & Jin, Yu & Shi, Wen, 2022. "Crowd wisdom and internet searches: What happens when investors search for stocks?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    13. Huang Zibin & Ibragimov Rustam, 2022. "Equity returns and sentiment," Dependence Modeling, De Gruyter, vol. 10(1), pages 159-176, January.
    14. Ben Chamberlain & Zhangxin (Frank) Liu & Lee A. Smales, 2023. "Short interest and the stock market relation with news sentiment from traditional and social media sources," Australian Economic Papers, Wiley Blackwell, vol. 62(2), pages 321-334, June.
    15. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    16. Liu, Sha, 2023. "Do investors and managers of active ETFs react to social media activities?," Finance Research Letters, Elsevier, vol. 51(C).
    17. Jan Hanousek Jr. & Jan Hanousek & Konstantin Sokolov, 2023. "X Bots and Earnings Announcements," MENDELU Working Papers in Business and Economics 2023-92, Mendel University in Brno, Faculty of Business and Economics.
    18. Agrrawal, Pankaj & Agarwal, Rajat, 2023. "A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency," EconStor Preprints 273555, ZBW - Leibniz Information Centre for Economics.
    19. Liu, Sha & Gaskell, Paul & McGroarty, Frank, 2022. "Where and about what? Price relevant narratives depend on topic and media type," Economics Letters, Elsevier, vol. 213(C).
    20. Syed jawad hussain Shahzad & Elie Bouri & Román Ferrer, 2023. "Twitter sentiment and stock return volatility of US travel and leisure firms," Economics Bulletin, AccessEcon, vol. 43(2), pages 1133-1142.
    21. Lin, Nan & Li, Ao & Ke, Jinjun & Yuan, Jiayue & Chen, Han, 2023. "The governance role of corporate party organization on innovation," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 657-670.
    22. Sharneet Singh Jagirdar & Pradeep Kumar Gupta, 2023. "Value and Contrarian Investment Strategies: Evidence from Indian Stock Market," JRFM, MDPI, vol. 16(2), pages 1-19, February.
    23. Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.
    24. Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
    25. Sun, Nan & Kong, Dongmin & Tao, Yunqing, 2023. "Does broadband infrastructure affect corporate mergers and acquisitions? Quasi-natural experimental evidence from China," International Review of Financial Analysis, Elsevier, vol. 85(C).
    26. Yu, Jing-Rung & Chiou, W. Paul & Hung, Cing-Hung & Dong, Wen-Kuei & Chang, Yi-Hsuan, 2022. "Dynamic rebalancing portfolio models with analyses of investor sentiment," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 1-13.
    27. Zhang, Jiahang & Zhang, Chi, 2022. "Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter," Research in International Business and Finance, Elsevier, vol. 61(C).
    28. Eierle, Brigitte & Klamer, Sebastian & Muck, Matthias, 2022. "Does it really pay off for investors to consider information from social media?," International Review of Financial Analysis, Elsevier, vol. 81(C).

  4. Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
    See citations under working paper version above.
  5. Qi Ge & Alexander Kurov & Marketa Halova Wolfe, 2019. "Do Investors Care About Presidential Company‐Specific Tweets?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(2), pages 213-242, July.

    Cited by:

    1. Ante, Lennart, 2023. "How Elon Musk's Twitter activity moves cryptocurrency markets," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    2. Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022. "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 216-231.
    3. Marinč, Matej & Massoud, Nadia & Ichev, Riste & Valentinčič, Aljoša, 2021. "Presidential candidates linguistic tone: The impact on the financial markets," Economics Letters, Elsevier, vol. 204(C).
    4. Guo, Shijun & Jiao, Yang & Xu, Zhiwei, 2021. "Trump’s Effect on the Chinese Stock Market," Journal of Asian Economics, Elsevier, vol. 72(C).
    5. Yusaku Nishimura & Xuyi Dong & Bianxia Sun, 2021. "Trump's tweets: Sentiment, stock market volatility, and jumps," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 497-512, September.
    6. Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media, political uncertainty, and stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1137-1153, October.
    7. Amir Fekrazad & Syed M. Harun & Naafey Sardar, 2022. "Social media sentiment and the stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(2), pages 397-419, April.
    8. Heleen Brans & Bert Scholtens, 2020. "Under his thumb the effect of president Donald Trump’s Twitter messages on the US stock market," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-11, March.
    9. Nishimura, Yusaku & Sun, Bianxia, 2021. "President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    10. Afanasyev, Dmitriy O. & Fedorova, Elena & Ledyaeva, Svetlana, 2021. "Strength of words: Donald Trump's tweets, sanctions and Russia's ruble," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 253-277.
    11. Machus, Tobias & Mestel, Roland & Theissen, Erik, 2022. "Heroes, just for one day: The impact of Donald Trump’s tweets on stock prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    12. Almond, Douglas & Du, Xinming, 2020. "Later bedtimes predict President Trump’s performance," Economics Letters, Elsevier, vol. 197(C).

  6. Chen Gu & Alexander Kurov, 2018. "What drives informed trading before public releases? Evidence from natural gas inventory announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1079-1096, September.

    Cited by:

    1. Jieun Lee & Doojin Ryu, 2019. "The impacts of public news announcements on intraday implied volatility dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 656-685, June.
    2. de Bonviller, Simon & Zuo, Alec & Wheeler, Sarah Ann, 2019. "Is there evidence of insider trading in Australian water markets?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), April.
    3. Adrian Fernandez‐Perez & Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2019. "Surprise and dispersion: informational impact of USDA announcements," Agricultural Economics, International Association of Agricultural Economists, vol. 50(1), pages 113-126, January.
    4. Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2022. "Drift Begone! Release policies and preannouncement informed trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    5. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    6. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).

  7. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.

    Cited by:

    1. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    2. Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022. "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 216-231.
    3. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022. "Market-Based Monetary Policy Uncertainty," The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
    5. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
    6. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    7. Chen Gu & Xu Guo & Alexander Kurov & Raluca Stan, 2022. "The information content of the volatility index options trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1721-1737, September.
    8. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).

  8. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.

    Cited by:

    1. Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
    2. Sharma, Susan Sunila & Bach Phan, Dinh Hoang & Narayan, Paresh Kumar, 2019. "Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    3. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
    4. Iyke, Bernard Njindan & Phan, Dinh Hoang Bach & Narayan, Paresh Kumar, 2022. "Exchange rate return predictability in times of geopolitical risk," International Review of Financial Analysis, Elsevier, vol. 81(C).
    5. Gu, Chen & Chen, Denghui & Stan, Raluca & Shen, Aizhong, 2022. "It is not just What you say, but How you say it: Why tonality matters in central bank communication," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 216-231.
    6. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    7. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    8. Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024. "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers 202405, University of Pretoria, Department of Economics.
    9. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021. "Dynamic impact of the U.S. monetary policy on oil market returns and volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
    10. Born, Benjamin & Dovern, Jonas & Enders, Zeno, 2023. "Expectation dispersion, uncertainty, and the reaction to news," European Economic Review, Elsevier, vol. 154(C).
    11. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
    12. Besma Hkiri & Juncal Cunado & Mehmet Balcilar & Rangan Gupta, 2019. "Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains," Working Papers 201965, University of Pretoria, Department of Economics.
    13. Liu, Guofang & Fang, Xi & Huang, Yuan & Zhao, Weidong, 2021. "Identifying the role of consumer and producer price index announcements in stock index futures price changes," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 87-101.
    14. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
    15. Frederik Neugebauer, 2020. "ECB Announcements and Stock Market Volatility," WHU Working Paper Series - Economics Group 20-02, WHU - Otto Beisheim School of Management.
    16. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
    17. Ecenur Ugurlu‐Yildirim & Baris Kocaarslan & Beyza M. Ordu‐Akkaya, 2021. "Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1724-1738, April.
    18. Lyu, Yongjian & Yi, Heling & Hu, Yingyi & Yang, Mo, 2021. "Economic uncertainty shocks and China's commodity futures returns: A time-varying perspective," Resources Policy, Elsevier, vol. 70(C).
    19. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
    20. Yan Jiang & Yaping Xu & Shengsheng Li, 2022. "How Does Monetary Policy Uncertainty Influence Firms’ Dynamic Adjustment of Capital Structure," SAGE Open, , vol. 12(1), pages 21582440211, January.
    21. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
    22. Hussain, Syed Mujahid & Ben Omrane, Walid & Al-Yahyaee, Khamis, 2020. "US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices," Global Finance Journal, Elsevier, vol. 46(C).
    23. Caferra, Rocco & Vidal-Tomás, David, 2021. "Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    24. Gu, Chen & Kurov, Alexander & Stan, Raluca, 2023. "Monetary policy and uncertainty resolution in commodity markets," Finance Research Letters, Elsevier, vol. 55(PA).
    25. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," CEE-M Working Papers hal-01954920, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    26. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    27. Lyu, Yongjian & Tuo, Siwei & Wei, Yu & Yang, Mo, 2021. "Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence," Resources Policy, Elsevier, vol. 70(C).
    28. Tillmann, Peter, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224545, Verein für Socialpolitik / German Economic Association.
    29. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
    30. He, Mengxi & Zhang, Yaojie, 2022. "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    31. Yu, Xiaoling & Huang, Yirong, 2021. "The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    32. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
    33. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
    34. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    35. Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2022. "Drift Begone! Release policies and preannouncement informed trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    36. Donghyun Park & Irfan Qureshi & Shu Tian & Mai Lin Villaruel, 2022. "Impact of US monetary policy uncertainty on Asian exchange rates," Economic Change and Restructuring, Springer, vol. 55(1), pages 73-82, February.
    37. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2020. "Commodity financialization and sector ETFs: Evidence from crude oil futures," Research in International Business and Finance, Elsevier, vol. 51(C).
    38. Yingli Wang & Chang Lu & Xiaoguang Yang & Qingpeng Zhang, 2023. "Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2937-2955, July.
    39. Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.
    40. Han, Haozhe & Wang, Xingjian, 2023. "Monetary policy uncertainty and corporate cash holdings: Evidence from China," Journal of Financial Stability, Elsevier, vol. 67(C).
    41. Huang, Ho-Chuan & Wang, Xiuhua & Xiong, Xin, 2022. "When macro time series meets micro panel data: A clear and present danger," Energy Economics, Elsevier, vol. 114(C).
    42. Nguyen Ba Trung, 2022. "Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty," International Finance, Wiley Blackwell, vol. 25(3), pages 285-295, December.
    43. Ge, Xinyu & Liu, Yan & Zhuang, Jiali, 2023. "Monetary policy uncertainty, market structure and bank risk-taking: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    44. Shuyu Zhang & Dunli Zhang & Jianming Zheng & Walter Aerts, 2021. "Does policy uncertainty of the blockchain dampen ICO markets?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1625-1637, April.
    45. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
    46. Chen Gu & Denghui Chen & Raluca Stan, 2021. "Investor sentiment and the market reaction to macroeconomic news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1412-1426, September.
    47. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  9. Alexander Kurov & Chen Gu, 2016. "Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1210-1230, December.

    Cited by:

    1. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    2. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
    3. Lakdawala, Aeimit & Schaffer, Matthew, 2019. "Federal reserve private information and the stock market," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 34-49.
    4. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
    5. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
    6. Radeef Chundakkadan & Subash Sasidharan, 2021. "Central bank's money market operations and daily stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 136-152, January.
    7. Gu, Chen & Kurov, Alexander & Stan, Raluca, 2023. "Monetary policy and uncertainty resolution in commodity markets," Finance Research Letters, Elsevier, vol. 55(PA).
    8. Park, Keun Woo & Hong, Dahae & Oh, Ji Yeol Jimmy, 2019. "Investor behavior around monetary policy announcements: Evidence from the Korean stock market," Finance Research Letters, Elsevier, vol. 28(C), pages 355-362.
    9. Gene Birz & Sandip Dutta & Han Yu, 2022. "Economic forecasts, anchoring bias, and stock returns," Financial Management, Financial Management Association International, vol. 51(1), pages 169-191, March.
    10. Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.

  10. Baum, Christopher F. & Kurov, Alexander & Wolfe, Marketa Halova, 2015. "What do Chinese macro announcements tell us about the world economy?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 100-122.
    See citations under working paper version above.
  11. Arabinda Basistha & Alexander Kurov, 2015. "The Impact of Monetary Policy Surprises on Energy Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 87-103, January.

    Cited by:

    1. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
    2. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
    3. Hip lit Torr, 2019. "The Response of European Energy Prices to ECB Monetary Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
    4. Chang, Kai & Zeng, Yonghong & Wang, Weihong & Wu, Xin, 2019. "The effects of credit policy and financial constraints on tangible and research & development investment: Firm-level evidence from China's renewable energy industry," Energy Policy, Elsevier, vol. 130(C), pages 438-447.
    5. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021. "Dynamic impact of the U.S. monetary policy on oil market returns and volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
    6. Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
    7. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
    8. Adrian Fernandez‐Perez & Raquel López, 2023. "The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1499-1530, November.
    9. Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
    10. Ma, Chaoqun & Tian, Yonggang & Hsiao, Shisong & Deng, Liurui, 2022. "Monetary policy shocks and Bitcoin prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    11. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
    12. Gu, Chen & Kurov, Alexander & Stan, Raluca, 2023. "Monetary policy and uncertainty resolution in commodity markets," Finance Research Letters, Elsevier, vol. 55(PA).
    13. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    14. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
    15. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
    16. Jang, Hyeonung & Seo, Byoung Ki, 2020. "Monetary policy rate expectation and energy prices during the FOMC announcement period," Finance Research Letters, Elsevier, vol. 32(C).
    17. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
    18. Kam Fong Chan & Philip Gray, 2017. "Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(1), pages 71-89, January.
    19. Walid Bahloul & Rangan Gupta, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
    20. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    21. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    22. Yang, Yang & Zhang, Jiqiang & Chen, Sanpan, 2023. "Information effects of monetary policy announcements on oil price," Journal of Commodity Markets, Elsevier, vol. 30(C).
    23. Cao, Wenbin & Guernsey, Scott B. & Linn, Scott C., 2018. "Evidence of infinite and finite jump processes in commodity futures prices: Crude oil and natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 629-641.
    24. Libo Yin & Jing Nie & Liyan Han, 2020. "Intermediary asset pricing in commodity futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1711-1730, November.
    25. Sun Young Kim & Kyung Yoon Kwon, 2021. "Does economic uncertainty matter in international commodity futures markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 849-869, January.
    26. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
    27. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
    28. Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
    29. Ivan, Miruna-Daniela & Banti, Chiara & Kellard, Neil, 2022. "Prime money market funds regulation, global liquidity, and the crude oil market," Journal of International Money and Finance, Elsevier, vol. 127(C).
    30. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.
    31. Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.
    32. Soriano, Pilar & Torró, Hipòlit, 2022. "The response of Brent crude oil to the European central bank monetary policy," Finance Research Letters, Elsevier, vol. 46(PA).

  12. Marketa W. Halova & Alexander Kurov & Oleg Kucher, 2014. "Noisy Inventory Announcements and Energy Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(10), pages 911-933, October.

    Cited by:

    1. Karali, Berna & Isengildina Massa, Olga & Irwin, Scott H., 2018. "Does Noise in Market Expectations Dilute Price Reactions to USDA Reports?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273973, Agricultural and Applied Economics Association.
    2. Farhangdoost, Sara & Etienne, Xiaoli L., 2020. "Time-Varying Storage Announcement Effect in Natural Gas Market," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304476, Agricultural and Applied Economics Association.
    3. Misund, Bård & Oglend, Atle, 2015. "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance 2015/10, University of Stavanger.
    4. Rousse, O. & Sévi, B., 2016. "Informed trading in oil-futures market," Working Papers 2016-07, Grenoble Applied Economics Laboratory (GAEL).
    5. Doga Bilgin & Reinhard Ellwanger, 2019. "The Simple Economics of Global Fuel Consumption," Staff Working Papers 19-35, Bank of Canada.
    6. Ye, Shiyu & Karali, Berna, 2015. "The Informational Content of Inventory Announcements: Intraday Evidence from Crude Oil Futures Market," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205595, Agricultural and Applied Economics Association.
    7. Plante, Michael & Dhaliwal, Navi, 2017. "Inventory shocks and the oil–ethanol–grain price nexus," Economics Letters, Elsevier, vol. 156(C), pages 58-60.
    8. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News," Staff Working Papers 2020-8, Bank of Canada.
    9. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2021. "How does the financial market update beliefs about the real economy? Evidence from the oil market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 938-961, November.
    10. Yanting Chen & Peter R. Hartley & Yihui Lan, 2023. "Temperature, storage, and natural gas futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 549-575, April.
    11. Kam Fong Chan & Philip Gray, 2017. "Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(1), pages 71-89, January.
    12. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    13. Hong Miao & Sanjay Ramchander & Tianyang Wang & Jian Yang, 2018. "The impact of crude oil inventory announcements on prices: Evidence from derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 38-65, January.
    14. Ergen, Ibrahim & Rizvanoghlu, Islam, 2016. "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, vol. 56(C), pages 64-74.
    15. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    16. Chen Gu & Alexander Kurov, 2018. "What drives informed trading before public releases? Evidence from natural gas inventory announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1079-1096, September.
    17. Cortazar, Gonzalo & Ortega, Hector & Valencia, Consuelo, 2021. "How good are analyst forecasts of oil prices?," Energy Economics, Elsevier, vol. 102(C).
    18. Song-Zan Chiou-Wei & Sheng-Hung Chen & Wei-Hung Chen, 2023. "Asymmetric Effects of Prices and Storage on Rig Counts: Evidence from the US Natural Gas and Crude Oil Markets," Energies, MDPI, vol. 16(15), pages 1-25, August.
    19. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.
    20. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
    21. Mukherjee, Abhiroop & Panayotov, George & Shon, Janghoon, 2021. "Eye in the sky: Private satellites and government macro data," Journal of Financial Economics, Elsevier, vol. 141(1), pages 234-254.

  13. Kucher, Oleg & Kurov, Alexander, 2014. "Business cycle, storage, and energy prices," Review of Financial Economics, Elsevier, vol. 23(4), pages 217-226.

    Cited by:

    1. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    2. Ahmed, Rashad, 2020. "Global Flight-to-Safety Shocks," MPRA Paper 103501, University Library of Munich, Germany.
    3. Soohyeon Kim & Jungho Baek & Eunnyeong Heo, 2020. "Crude oil inventories: The two faces of Janus?," Empirical Economics, Springer, vol. 59(2), pages 1003-1018, August.
    4. Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
    5. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
    6. Considine, Jennifer & Galkin, Philipp & Aldayel, Abdullah, 2022. "Inventories and the term structure of oil prices: A complex relationship," Resources Policy, Elsevier, vol. 77(C).

  14. Naomi E. Boyd & Alexander Kurov, 2012. "Trader Survival: Evidence from the Energy Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 809-836, September.

    Cited by:

    1. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    2. Snaith, S & Kellard, NM & Ahmad, N, 2015. "Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures," Essex Finance Centre Working Papers 15373, University of Essex, Essex Business School.
    3. Scott H. Irwin & Dwight R. Sanders & Lei Yan, 2023. "The order flow cost of index rolling in commodity futures markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 45(2), pages 1025-1050, June.

  15. Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.

    Cited by:

    1. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    2. Chao Gu & Han Han & Randall Wright, 2020. "The Effects Of News When Liquidity Matters," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(4), pages 1411-1435, November.
    3. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    4. Lakdawala, Aeimit & Schaffer, Matthew, 2019. "Federal reserve private information and the stock market," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 34-49.
    5. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    6. Joseph Haslag, 2019. "On Processing Central Bank Communications: Can We Account for Fed Watching?," 2019 Meeting Papers 415, Society for Economic Dynamics.
    7. Chundakkadan, Radeef & Sasidharan, Subash, 2019. "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, vol. 77(C), pages 124-132.
    8. Hüning, Hendrik, 2020. "Swiss National Bank communication and investors’ uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    9. Stephanos Papadamou & Moïse Sidiropoulos & Eleftherios Spyromitros, 2017. "Does central bank independence affect stock market volatility ?," Post-Print hal-03692206, HAL.
    10. Chao Gu & Han Han & Randall Wright, 2016. "The Effects of Monetary Policy and Other Announcements," Working Papers 1621, Department of Economics, University of Missouri.
    11. Hüning, Hendrik, 2016. "Asset market response to monetary policy news from SNB press releases," HWWI Research Papers 177, Hamburg Institute of International Economics (HWWI).
    12. Stephanos Papadamou & Moïse Sidiropoulos & Eleftherios Spyromitros, 2014. "Does central bank transparency affect stock market volatility?," Post-Print hal-03692261, HAL.
    13. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
    14. Trung Hoang Bao & Cesario Mateus, 2017. "Impact of FOMC announcement on stock price index in Southeast Asian countries," China Finance Review International, Emerald Group Publishing Limited, vol. 7(3), pages 370-386, August.
    15. Radeef Chundakkadan & Subash Sasidharan, 2021. "Central bank's money market operations and daily stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 136-152, January.
    16. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
    17. Donato Masciandaro & Davide Romelli & Gaia Rubera, 2021. "Monetary policy and financial markets: evidence from Twitter traffic," BAFFI CAREFIN Working Papers 21160, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    18. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
    19. Hüning, Hendrik, 2017. "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 160-177.
    20. Chortareas, Georgios & Noikokyris, Emmanouil, 2017. "Federal reserve's policy, global equity markets, and the local monetary policy stance," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 317-327.
    21. Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019. "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 735-749, October.
    22. Smales, L.A. & Apergis, N., 2017. "Does more complex language in FOMC decisions impact financial markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 171-189.
    23. Donato Masciandaro & Davide Romelli & Gaia Rubera, 2020. "Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index," BAFFI CAREFIN Working Papers 20134, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    24. Alexandra Brown & Sigitas Karpavičius, 2017. "The Reaction of the Australian Stock Market to Monetary Policy Announcements from the Reserve Bank of Australia," The Economic Record, The Economic Society of Australia, vol. 93(300), pages 20-41, March.
    25. Rühl, Tobias R. & Stein, Michael, 2015. "The impact of ECB macro-announcements on bid–ask spreads of European blue chips," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 54-71.

  16. Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.

    Cited by:

    1. Naifar, Nader, 2016. "Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 29-39.
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    3. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Other publications TiSEM 347a970d-4a05-416f-a351-1, Tilburg University, School of Economics and Management.
    4. Michael Pedersen, 2020. "Surveying the survey: What can we learn about the effects of monetary policy on inflation expectations?," Working Papers Central Bank of Chile 889, Central Bank of Chile.
    5. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
    6. Tsai, Chun-Li, 2014. "The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 273-290.
    7. Pablo Gomez‐Carrasco & Giovanna Michelon, 2017. "The Power of Stakeholders' Voice: The Effects of Social Media Activism on Stock Markets," Business Strategy and the Environment, Wiley Blackwell, vol. 26(6), pages 855-872, September.
    8. Basheer Ahmad & Usman Ali Warraich & Sidra Saeed, 2014. "Impact Of Investor Sentiments On Future Trading," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 10(2), pages 16-32.
    9. Di, Li & Shaiban, Mohammed Sharaf & Hasanov, Akram Shavkatovich, 2021. "The power of investor sentiment in explaining bank stock performance: Listed conventional vs. Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    10. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
    11. Oguzhan Cepni & Rangan Gupta, 2020. "Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment," Working Papers 202039, University of Pretoria, Department of Economics.
    12. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
    13. Kevin Krieger & Nathan Mauck & Denghui Chen, 2012. "VIX changes and derivative returns on FOMC meeting days," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(3), pages 315-331, September.
    14. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
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    1. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
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    3. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
    4. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
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    6. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
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    8. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Other publications TiSEM 347a970d-4a05-416f-a351-1, Tilburg University, School of Economics and Management.
    9. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
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    11. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
    12. Umut UYAR & Sinem KANGALLI UYAR & Altan GOKCE, 2016. "Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 587-598.
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    92. Andrés A. Acuna & Cristián F. Pinto, 2015. "Efectos de las decisiones de política del Banco Central sobre los retornos de la Bolsa de Comercio en Chile," Revista Ecos de Economía, Universidad EAFIT, vol. 19(40), pages 48-65, June.
    93. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
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    95. Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019. "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 735-749, October.
    96. McCredie, Bronwyn & Docherty, Paul & Easton, Steve & Uylangco, Katherine, 2016. "The channels of monetary policy triggered by central bank actions and statements in the Australian equity market," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 46-61.
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    98. Jansen, Dennis W. & Zervou, Anastasia, 2017. "The time varying effect of monetary policy on stock returns," Economics Letters, Elsevier, vol. 160(C), pages 54-58.
    99. Muhammad Shafiullah & Usman Khalid & Sajid M. Chaudhry, 2022. "Do stock markets play a role in determining COVID‐19 economic stimulus? A cross‐country analysis," The World Economy, Wiley Blackwell, vol. 45(2), pages 386-408, February.
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    101. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
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    103. Sashikanta Khuntia & Gourishankar S. Hiremath, 2019. "Monetary Policy Announcements and Stock Returns: Some Further Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 801-827, December.
    104. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
    105. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
    106. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
    107. Khosravi, Taha, 2015. "The Impact of a Low Interest Rate Environment: Empirical Evidence from the Euro Area Bank Lending Survey," MPRA Paper 67363, University Library of Munich, Germany.
    108. Henry, Ólan T., 2009. "Regime switching in the relationship between equity returns and short-term interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 405-414, February.
    109. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012. "Can the Fed Talk the Hind Legs off the Stock Market? (replaces EBC DP 2011-017)," Other publications TiSEM 2cab42f6-c75d-46ef-9801-4, Tilburg University, School of Economics and Management.
    110. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
    111. Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017. "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 300-315.
    112. Can Sever, 2022. "Financial crises and institutional quality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1510-1525, January.
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    116. Ibrahim, Mansor H. & Salim, Kinan & Abojeib, Moutaz & Yeap, Lau Wee, 2019. "Structural changes, competition and bank stability in Malaysia’s dual banking system," Economic Systems, Elsevier, vol. 43(1), pages 111-129.
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    119. Rafik Harkati & Syed Musa Alhabshi & Salina Kassim & Noraini Mohd Ariffin, 2022. "Market structure and power: comparative empirical evidence from a dual banking system," Economic Change and Restructuring, Springer, vol. 55(3), pages 1815-1873, August.
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  18. Alexander Kurov, 2008. "Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(9), pages 871-888, September.

    Cited by:

    1. Syamsul Idul Adha & A. Sakir, 2021. "Effect of Minimum Tick Size Policy on Price Efficiency and Execution Cost," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 29-41.
    2. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
    3. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
    4. Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
    5. Martinez, Valeria & Tse, Yiuman, 2019. "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, vol. 28(C), pages 32-38.
    6. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.

  19. Alexander Kurov, 2008. "Information And Noise In Financial Markets: Evidence From The E‐Mini Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 247-270, September.

    Cited by:

    1. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    2. Nawn, Samarpan & Banerjee, Ashok, 2019. "Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 109-125.
    3. Weiping Li & Wenwen Liu, 2021. "Investor sentiment‐styled index in index futures market," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 51-72, January.

  20. Alexander Kurov, 2008. "Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets," The Financial Review, Eastern Finance Association, vol. 43(1), pages 107-127, February.

    Cited by:

    1. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
    2. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    3. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
    4. Saade, Samer, 2015. "Investor sentiment and the underperformance of technology firms initial public offerings," Research in International Business and Finance, Elsevier, vol. 34(C), pages 205-232.
    5. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    6. Hadfi Bilel & Kouki Mondher, 2021. "What Can explain catering of dividend? Environment information and investor sentiment," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 428-450, July.
    7. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    8. Nikos C. Papapostolou & Nikos K. Nomikos & Panos K. Pouliasis & Ioannis Kyriakou, 2014. "Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market," Review of Finance, European Finance Association, vol. 18(4), pages 1507-1539.
    9. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    10. Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
    11. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    12. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
    13. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    14. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
    15. Gaies, Brahim & Nakhli, Mohamed Sahbi & Ayadi, Rim & Sahut, Jean-Michel, 2022. "Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 290-303.
    16. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
    17. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
    18. Zadeh, Mohammad Hendijani, 2023. "Stock liquidity and societal trust," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    19. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
    20. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
    21. Chen, Cathy Yi-Hsuan & Kuo, I-Doun, 2015. "Survey sentiment and interest rate option smile," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 125-137.
    22. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
    23. Edward J. Riedl & Estelle Y. Sun & Guannan Wang, 2021. "Sentiment, Loss Firms, and Investor Expectations of Future Earnings," Contemporary Accounting Research, John Wiley & Sons, vol. 38(1), pages 518-544, March.
    24. Fu, Chengbo & Jacoby, Gady & Wang, Yan, 2015. "Investor sentiment and portfolio selection," Finance Research Letters, Elsevier, vol. 15(C), pages 266-273.
    25. Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
    26. Sifat, Imtiaz & Ghafoor, Abdul & Ah Mand, Abdollah, 2021. "The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    27. Aihua Li, 2021. "Conditional Estimates of Diffusion Processes for Evaluating the Positive Feedback Trading," Papers 2111.12564, arXiv.org.
    28. Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-25.
    29. Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
    30. Ni, Yensen & Cheng, Yirung & Huang, Paoyu & Day, Min-Yuh, 2018. "Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 188-204.
    31. Lewis, Yimai & Bozos, Konstantinos, 2019. "Mitigating post-acquisition risk: the interplay of cross-border uncertainties," Journal of World Business, Elsevier, vol. 54(5), pages 1-1.
    32. Hao Li & Zhisheng Li, 2022. "The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4885-4917, December.
    33. Ameet Kumar Banerjee & H. K. Pradhan, 2020. "Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 767-782, December.
    34. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    35. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    36. Maria Elisabete Duante Neves, 2017. "Payout and Firm's Catering," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 104-132.
    37. Chen, Yu-Lun & Chang, Ya-Kai, 2015. "Investor structure and the informational efficiency of commodity futures prices," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 358-367.
    38. Kim, Soo-Hyun & Kang, Hyoung-Goo, 2015. "Tactical Asset Allocation Using Investors' Sentiment," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(2), pages 177-195, December.
    39. Yung-Ching Tseng & Wo-Chiang Lee, 2016. "Investor Sentiment and ETF Liquidity - Evidence from Asia Markets," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 6(1), pages 1-5.
    40. Yuan Wu & Taufiq Choudhry, 2018. "Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(2), pages 111-136, June.
    41. Yensen Ni & Min-Yuh Day & Paoyu Huang, 2020. "Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
    42. Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016. "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 221-232.
    43. Zhou, Liyun & Huang, Jialiang, 2020. "Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    44. Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
    45. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
    46. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
    47. Jinfang Li, 2021. "The term structure effects of individual stock investor sentiment on excess returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1695-1705, April.
    48. Yang, Chunpeng & Gao, Bin, 2014. "The term structure of sentiment effect in stock index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 171-182.
    49. Chen, Yu-Lun & Mo, Wan-Shin & Chang, Ya-Kai, 2022. "Investor sentiment spillover effect and market quality in crude oil futures," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 177-193.
    50. Konstantinos D. Melas & Photis M. Panayides & Dimitris A. Tsouknidis, 2022. "Dynamic volatility spillovers and investor sentiment components across freight-shipping markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 24(2), pages 368-394, June.
    51. Andrikopoulos, Panagiotis & Cui, Yueting & Gad, Samar & Kallinterakis, Vasileios, 2020. "Feedback trading and the ramadan effect in frontier markets," Research in International Business and Finance, Elsevier, vol. 51(C).
    52. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
    53. Zheng, Yao, 2015. "The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 128-142.
    54. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    55. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    56. An, Suwei, 2023. "Essays on incentive contracts, M&As, and firm risk," Other publications TiSEM dd97d2f5-1c9d-47c5-ba62-f, Tilburg University, School of Economics and Management.
    57. Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
    58. Charteris, Ailie & Musadziruma, Arnold, 2017. "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1289-1297.
    59. Marwane El Alaoui & Elie Bouri & Nehme Azoury, 2020. "The Determinants of the U.S. Consumer Sentiment: Linear and Nonlinear Models," IJFS, MDPI, vol. 8(3), pages 1-13, July.
    60. Hao-Chang Yang & Ferry Syarifuddin & Chun-Ping Chang & Hai-Jie Wang, 2022. "The Impact of Exchange Rate Futures Fluctuations on Macroeconomy: Evidence from Ten Trading Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(8), pages 2300-2313, June.
    61. Wang, Ruina & Li, Jinfang, 2021. "The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    62. Harper, Joel T. & Iyer, Subramanian Rama & Nejadmalayeri, Ali, 2017. "Diversification discount and investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 218-236.
    63. Chau, Frankie & Deesomsak, Rataporn, 2015. "Business cycle variation in positive feedback trading: Evidence from the G-7 economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 147-159.
    64. Spyros I. Spyrou, 2020. "Valuation ratio style investing and economic sentiment: evidence from major Eurozone markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 827-856, October.
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    66. Xiao Han & Nikolaos Sakkas & Jo Danbolt & Arman Eshraghi, 2022. "Persistence of investor sentiment and market mispricing," The Financial Review, Eastern Finance Association, vol. 57(3), pages 617-640, August.
    67. Pedro Piccoli & Newton C. A. da Costa & Wesley Vieira da Silva & June A. W. Cruz, 2018. "Investor sentiment and the risk–return tradeoff in the Brazilian market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 599-618, November.
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    Cited by:

    1. Chune Young Chung & Yunjae Lee & Doojin Ryu, 2017. "Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 309-322, December.
    2. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
    3. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    4. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    5. Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
    6. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
    7. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
    8. Alexander Kurov, 2008. "Information And Noise In Financial Markets: Evidence From The E‐Mini Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 247-270, September.
    9. Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017. "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 34-51.
    10. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 399-420, March.
    11. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.
    12. Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012. "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers 12-121/III, Tinbergen Institute.
    13. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU [Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 435-457.
    14. Smales, Lee A., 2016. "Order aggressiveness of different broker-types in response to monetary policy news," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 367-383.
    15. Rahmi Erdem Aktug, 2015. "Empirical dynamics of emerging financial markets during the global mortgage crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(1), pages 17-36, March.
    16. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.
    17. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    18. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
    19. Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
    20. Löffler, Gunter & Posch, Peter N, 2013. "Wall Street’s bailout bet: Market reactions to house price releases in the presence of bailout expectations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5147-5158.
    21. Grigori Erenburg & Dennis Lasser, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 172-182, October.

  22. Alexander Kurov & Tatyana Zabotina, 2005. "Is it time to reduce the minimum tick sizes of the E‐mini futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(1), pages 79-104, January.

    Cited by:

    1. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Mahmoodzadeh, Soheil & Gençay, Ramazan, 2017. "Human vs. high-frequency traders, penny jumping, and tick size," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 69-82.
    3. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    4. Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
    5. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
    6. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
    7. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.

  23. Alexander Kurov, 2005. "Execution quality in open‐outcry futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(11), pages 1067-1092, November.

    Cited by:

    1. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
    2. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.

  24. Kurov, Alexander & Lasser, Dennis J., 2004. "Price Dynamics in the Regular and E-Mini Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 365-384, June.

    Cited by:

    1. Marc Simpson & Jose Moreno & Teofilo Ozuna, 2012. "The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 347-365, April.
    2. M. Illueca & J. Lafuente, 2008. "Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 197-219, September.
    3. Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 470-493, October.
    4. Chung, Huimin & Sheu, Her-Jiun & Hsu, Shufang, 2010. "Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 742-754, October.
    5. Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
    6. Helder Sebastião, 2012. "The Relative Contemporaneous Information Response: A New Cointegration-Based Measure of Price Discovery," GEMF Working Papers 2012-04, GEMF, Faculty of Economics, University of Coimbra.
    7. Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
    8. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
    9. Siu-Kai Choy & Hua Zhang, 2010. "Trading costs and price discovery," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 37-57, January.
    10. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
    11. Pantisa Pavabutr & Piyamas Chaihetphon, 2010. "Price discovery in the Indian gold futures market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(4), pages 455-467, October.
    12. Fang Cai, 2009. "Trader Exploitation Of Order Flow Information During The Ltcm Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 261-284, September.
    13. Hou, Yang & Li, Steven, 2017. "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper 81999, University Library of Munich, Germany.
    14. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).
    15. Alexander Kurov, 2008. "Information And Noise In Financial Markets: Evidence From The E‐Mini Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 247-270, September.
    16. Jatin Malhotra & Angelo Corelli, 2021. "The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types," Risks, MDPI, vol. 9(6), pages 1-14, June.
    17. Lee, Kyuseok & Kim, Soo-Hyun, 2018. "Do Leveraged/Inverse Etfs Wag The Underlying Market? : Evidence From The Korean Stock Market," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 59(2), pages 83-94, December.
    18. Charlie X. Cai & Robert Faff & Yongcheol Shin, 2018. "Noise Momentum Around the World," Abacus, Accounting Foundation, University of Sydney, vol. 54(1), pages 79-104, March.
    19. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
    20. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    21. Qin Wang & Jun Zhang, 2016. "Trade Size Clustering In The E-Mini Index Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 247-262, September.
    22. Anand, Amber & Gatchev, Vladimir A. & Madureira, Leonardo & Pirinsky, Christo A. & Underwood, Shane, 2011. "Geographic proximity and price discovery: Evidence from NASDAQ," Journal of Financial Markets, Elsevier, vol. 14(2), pages 193-226, May.
    23. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
    24. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    25. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
    26. Yang Hou & Steven Li & Fenghua Wen, 2021. "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 91-110, July.
    27. An-Sing Chen & Hui-Jyuan Gao & Mark Leung, 2008. "Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses," Working Papers 0039, College of Business, University of Texas at San Antonio.
    28. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    29. Viktoria Dalko & Michael H. Wang, 2020. "High-frequency trading: Order-based innovation or manipulation?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 289-298, December.
    30. Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018. "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 153-166.
    31. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
    32. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
    33. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
    34. Kao, Erin H. & Ho, Tsung-wu & Fung, Hung-Gay, 2015. "Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 321-336.
    35. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.
    36. Buckle, Mike & Chen, Jing & Guo, Qian & Tong, Chen, 2018. "Do ETFs lead the price moves? Evidence from the major US markets," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 91-103.

  25. Alexander A. Kurov & Dennis J. Lasser, 2002. "The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(3), pages 197-218, March.

    Cited by:

    1. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
    2. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
    3. Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
    4. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    5. Luqi Yuan & Shihong Zeng, 2023. "The Comparison and Analysis of Exchange Traded Funds (ETFs) Return Rates," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(2), pages 1-4.
    6. Palani-Rajan Kadapakkam & Umesh Kumar, 2009. "Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market," Working Papers 0094, College of Business, University of Texas at San Antonio.
    7. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.

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