Department of Economics and Business Economics

Volume, Volatility and Public News Announcements

Research output: Working paperResearch

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  • rp16_19

    Final published version, 691 KB, PDF document

  • Tim Bollerslev, Department of Economics, Duke University, NBER, and CREATES
  • ,
  • 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 are based on high-frequency intraday data 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 the most 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
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages44
Publication statusPublished - 4 Jul 2016
SeriesCREATES Research Papers
Number2016-19

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