Publication Type
Journal Article
Version
submittedVersion
Publication Date
10-2018
Abstract
We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around important news announcements are systematically below unity. Our elasticity estimates also decrease significantly with measures of disagreements in beliefs, economic uncertainty, and textual-based sentiment, further highlighting the key role played by differences-of-opinion.
Keywords
Model Construction and Estimation, Model Evaluation, Validation and Selection, Asset Pricing, Trading volume, Bond Interest Rates
Discipline
Econometrics
Research Areas
Econometrics
Publication
Review of Economic Studies
Volume
85
Issue
4
First Page
2005
Last Page
2041
ISSN
0034-6527
Identifier
10.1093/restud/rdy003
Publisher
Oxford University Press (OUP)
Citation
BOLLERSLEV, Tim; LI, Jia; and XUE, Yuan.
Volume, volatility, and public news announcements. (2018). Review of Economic Studies. 85, (4), 2005-2041.
Available at: https://ink.library.smu.edu.sg/soe_research/2584
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/restud/rdy003