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The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Citations

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Cited by:

  1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  2. repec:hum:wpaper:sfb649dp2010-056 is not listed on IDEAS
  3. Makoto Takahashi, 2025. "Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects," Papers 2508.06788, arXiv.org, revised Oct 2025.
  4. Han, Liyan & Xu, Yang & Yin, Libo, 2017. "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers 2017-37, Kiel Institute for the World Economy (IfW Kiel).
  5. repec:hum:wpaper:sfb649dp2010-055 is not listed on IDEAS
  6. Banerjee, Ameet Kumar & Pradhan, H.K. & Akhtaruzzaman, Md & Sensoy, Ahmet & Dann, Susan, 2024. "Anatomy of sovereign yield behaviour using textual news," Research in International Business and Finance, Elsevier, vol. 71(C).
  7. repec:hum:wpaper:sfb649dp2010-032 is not listed on IDEAS
  8. repec:hum:wpaper:sfb649dp2010-061 is not listed on IDEAS
  9. 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.
  10. repec:hum:wpaper:sfb649dp2010-054 is not listed on IDEAS
  11. repec:hum:wpaper:sfb649dp2010-037 is not listed on IDEAS
  12. Melody Y. Huang & Randall R. Rojas & Patrick D. Convery, 2020. "Forecasting stock market movements using Google Trend searches," Empirical Economics, Springer, vol. 59(6), pages 2821-2839, December.
  13. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  14. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," IJFS, MDPI, vol. 1(4), pages 1-14, November.
  15. repec:hum:wpaper:sfb649dp2010-048 is not listed on IDEAS
  16. repec:hum:wpaper:sfb649dp2010-035 is not listed on IDEAS
  17. Martin Hauptfleisch, 2019. "Financial Decision-Making Using Data," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2019, January-A.
  18. repec:hum:wpaper:sfb649dp2010-059 is not listed on IDEAS
  19. repec:hum:wpaper:sfb649dp2010-047 is not listed on IDEAS
  20. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
  21. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2014. "The real benchmark of DAX index products and the influence of information dissemination: A natural experiment," Journal of Asset Management, Palgrave Macmillan, vol. 15(2), pages 129-149, April.
  22. 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.
  23. repec:hum:wpaper:sfb649dp2010-051 is not listed on IDEAS
  24. Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.
  25. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.
  26. repec:hum:wpaper:sfb649dp2010-034 is not listed on IDEAS
  27. Barbopoulos, Leonidas G. & Adra, Samer & Saunders, Anthony, 2020. "Macroeconomic news and acquirer returns in M&As: The impact of investor alertness," Journal of Corporate Finance, Elsevier, vol. 64(C).
  28. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
  29. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  30. Lei Wu & Kuan Xu & Qingbin Meng, 2021. "Information flow and price discovery dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 329-367, January.
  31. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  32. repec:hum:wpaper:sfb649dp2010-050 is not listed on IDEAS
  33. Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
  34. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Forecasting the CNY-CNH pricing differential: The role of investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 232-247.
  35. Zhang, Junru & Zhang, Zhaoyong, 2021. "CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms," Finance Research Letters, Elsevier, vol. 41(C).
  36. Feng, Lingbing & Fu, Tong & Shi, Yanlin, 2022. "How does news sentiment affect the states of Japanese stock return volatility?," International Review of Financial Analysis, Elsevier, vol. 84(C).
  37. repec:hum:wpaper:sfb649dp2010-049 is not listed on IDEAS
  38. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
  39. repec:hum:wpaper:sfb649dp2010-045 is not listed on IDEAS
  40. Riordan, Ryan & Storkenmaier, Andreas & Wagener, Martin & Sarah Zhang, S., 2013. "Public information arrival: Price discovery and liquidity in electronic limit order markets," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1148-1159.
  41. Walid Ben Omrane & Khaled Guesmi & Qi Qianru & Samir Saadi, 2023. "The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets," Annals of Operations Research, Springer, vol. 330(1), pages 177-209, November.
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