Add to ORKGWe examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle. We advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month. The data indicate that these patterns arise from at least two sources: (1) a higher level of uncertainty regarding the value of news in announcements in the first half of the month, and (2) improvement in efficiency of macroeconomic forecasts from the first to the second half of the month
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018In this thes...
My work analyses the effect of macroeconomic announcements like unemployment data on stock prices. M...
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
The arrival of the new information affects the asset prices. This is one the accepted cornerstones o...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Tr...
Recent evidence from the US, UK, French and German stock markets suggest that the turn-of-the-month ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Herein we explore whether macroeconomic announcements are a driving factor in the trading activity o...
The bond risk premia associated with important macroeconomic variables are examined in this paper. T...
It is well known that information arrival has an impact on prices volatility, and trading volume in ...
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018In this thes...
My work analyses the effect of macroeconomic announcements like unemployment data on stock prices. M...
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond ...
The arrival of the new information affects the asset prices. This is one the accepted cornerstones o...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Tr...
Recent evidence from the US, UK, French and German stock markets suggest that the turn-of-the-month ...
This paper provides an extensive analysis of the predictive ability of financial volatility measures...
Herein we explore whether macroeconomic announcements are a driving factor in the trading activity o...
The bond risk premia associated with important macroeconomic variables are examined in this paper. T...
It is well known that information arrival has an impact on prices volatility, and trading volume in ...
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018In this thes...
My work analyses the effect of macroeconomic announcements like unemployment data on stock prices. M...
Abstract: This paper studies the financial market responses to macroeconomic news an-nouncements, in...