Volume, Volatility, and Public News Announcements

• 成果类型: Article
• 署名作者: Bollerslev, Tim; Li, Jia; Xue, Yuan
• 署名单位: Duke University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdy003
• 发表日期: 2018
• 页码: 2005-2041
• 关键词: time price discovery; trading volume; foreign-exchange; speculative markets; financial-markets; information-flow; business cycles; high-frequency; stock-market; nyse stocks

摘要

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.