Department of Economics and Business Economics

Volume, Volatility, and Public News Announcements

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DOI

  • Tim Bollerslev
  • Jia Li, Duke University, United States
  • Yuan Xue, Duke University, United States
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.
Original languageEnglish
JournalThe Review of Economic Studies
Volume85
Issue4
Pages (from-to)2005-2041
Number of pages37
ISSN0034-6527
DOIs
Publication statusPublished - 2018
Externally publishedYes

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