Granular information and sectoral movements

Hao Jiang, Sophia Zhengzi Li and Peixuan Yuan

Journal of Economic Dynamics and Control, 2025, vol. 171, issue C

Abstract: This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of sector ETF. When we further incorporate the information from structural models, the resulting information signal has even stronger return predictability. These results support theories of granular and network origins of aggregate shocks.

Keywords: Granular information; Sectoral movements; Exchange-traded funds (search for similar items in EconPapers)
JEL-codes: G10 G14 G40 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100

DOI: 10.1016/j.jedc.2024.105018

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