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Volume, Volatility and Public News Announcements

Tim Bollerslev, Jia Li (jl410@duke.edu) and Yuan Xue (yuan.xue@duke.edu)
Additional contact information
Jia Li: Duke University, Postal: Department of Economics, Durham NC 27708, USA
Yuan Xue: Duke University, Postal: Department of Economics, Durham NC 27708, USA

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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.

Keywords: Differences-of-opinion; high-frequency data; jumps; macroeconomic news announcements; trading volume; stochastic volatility; economic uncertainty; textual sentiment (search for similar items in EconPapers)
JEL-codes: C51 C52 G12 (search for similar items in EconPapers)
Pages: 44
Date: 2016-06-23
New Economics Papers: this item is included in nep-ger and nep-mst
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Citations: View citations in EconPapers (3)

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Journal Article: Volume, Volatility, and Public News Announcements (2018) Downloads
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