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Citations for "Response of Hourly Stock Prices and Trading Volume to Economic News"

by Jain, Prem C

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  1. 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.
  2. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
  3. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1239-1249, May.
  4. Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010. "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 383-411, April.
  5. José Gonzalo Rangel, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
  6. Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, vol. 12(1), pages 29-53, February.
  7. Ziliotto, Arianna & Serati, Massimiliano, 2015. "The semi-strong efficiency debate: In search of a new testing framework," Research in International Business and Finance, Elsevier, vol. 34(C), pages 412-438.
  8. Ray Fair, 2001. "Shock Effects on Stocks, Bonds, and Exchange Rates," Yale School of Management Working Papers ysm172, Yale School of Management, revised 01 Aug 2001.
  9. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.).
  10. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
  11. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York.
  12. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
  13. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series rp45, International Center for Financial Asset Management and Engineering.
  14. Ryan Love & Richard Payne, 2003. "Macroeconomic news, order flows and exchange rates," LSE Research Online Documents on Economics 24901, London School of Economics and Political Science, LSE Library.
  15. Anup Agrawal & Mark A. Chen, 2008. "Do Analyst Conflicts Matter? Evidence from Stock Recommendations," Journal of Law and Economics, University of Chicago Press, vol. 51(3), pages 503-537, 08.
  16. Ozdagli, Ali K., 2013. "Not so fast: high-frequency financial data for macroeconomic event studies," Working Papers 13-19, Federal Reserve Bank of Boston.
  17. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo Group Munich.
  18. Tyas Prevoo & Bas Weel, 2010. "The Effects of a Change in Market Abuse Regulation on Abnormal Returns and Volumes: Evidence from the Amsterdam Stock Market," De Economist, Springer, vol. 158(3), pages 237-293, September.
  19. Christie-David, Rohan & Chaudhry, Mukesh, 2000. "Currency futures, news releases, and uncertainty resolution," Global Finance Journal, Elsevier, vol. 11(1-2), pages 109-127.
  20. Kamran Khan & Israr Ahmed, 2015. "Impact of Stock Prices on Macroeconomic Variables: Evidence from Pakistan," KASBIT Journal of Management & Social Science, Khadim Ali Shah Bukhari Institute of Technology (KASBIT), vol. 8(1), pages 42-59, May.
  21. Aramonte, Sirio, 2014. "Macroeconomic uncertainty and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 25-49.
  22. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris West - Nanterre la Défense, EconomiX.
  23. Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
  24. Birz, Gene & Lott Jr., John R., 2011. "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2791-2800, November.
  25. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper 0620, Institute of Social and Economic Research, Osaka University.
  26. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  27. Chan, Yue-cheong & Chui, Andy C. W. & Kwok, Chuck C. Y., 2001. "The impact of salient political and economic news on the trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 9(3), pages 195-217, June.
  28. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  29. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.
  30. Zeynep Önder & Can Şimga-Mugan, 2006. "How Do Political and Economic News Affect Emerging Markets? Evidence from Argentina and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(4), pages 50-77, July.
  31. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  32. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, EconWPA.
  33. Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
  34. Fabio C. Bagliano & Carlo A. Favero & Giovanna Nicodano, 2011. "Insider Trading, Traded Volume and Returns," Working papers 26, Former Department of Economics and Public Finance "G. Prato", University of Torino.
  35. Sanjeev Dewan & Haim Mendelson, 1998. "Information Technology and Time-Based Competition in Financial Markets," Management Science, INFORMS, vol. 44(5), pages 595-609, May.
  36. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
  37. Branston, Christopher B. & Groenewold, Nicolaas, 2004. "Investment and share prices: fundamental versus speculative components," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 199-226, August.
  38. Ray C. Fair, 2002. "Events That Shook the Market," The Journal of Business, University of Chicago Press, vol. 75(4), pages 713-732, October.
  39. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity," MPRA Paper 34725, University Library of Munich, Germany.
  40. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
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