The "news" effect on some financial variables

Elena Corallo ()
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Elena Corallo: Cattaneo University (LIUC), https://my.liuc.it/persone/persona.asp?ID=935

LIUC Papers in Economics from Cattaneo University (LIUC)

Abstract: The aim of this work is to verify whether the price of a bank quoted in the stock market is affected by two types of news: news coming from the market and announces defined "price sensitive" publicly released by the bank. Making use of a methodology based on heteroskedasticity, proposed in the literature by Rigobon and Sack (2003), we verify whether the price of Unicredit, which is one of the biggest Italian bank and which is characterised by a high exchange of stocks, are influenced in a significant way by announces of interest rate changes, released by the Monetary Authority and by news which affect the value of the bank, released by the bank itself.

Pages: 20 pages
Date: 2005-06
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:liu:liucec:172

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