Trading and non-trading period Internet information flow and intraday return volatility
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2016.01.086
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Harrison Hong & Terence Lim & Jeremy C. Stein, 2000.
"Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,"
Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc.
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-321, March.
- Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.
- Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
- Hyunyoung Choi & Hal Varian, 2012. "Predicting the Present with Google Trends," The Economic Record, The Economic Society of Australia, vol. 88(s1), pages 2-9, June.
- Niklas Wagner & Terry Marsh, 2005.
"Surprise volume and heteroskedasticity in equity market returns,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 153-168.
- Wagner, Niklas & Marsh, Terry A., 2004. "Surprise volume and heteroskedasticity in equity market returns," CEFS Working Paper Series 2004-03, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, University Library of Munich, Germany.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Benjamin Edelman, 2012. "Using Internet Data for Economic Research," Journal of Economic Perspectives, American Economic Association, vol. 26(2), pages 189-206, Spring.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
- Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Harris, Lawrence, 1987. "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 127-141, June.
- Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
- Kalev, Petko S. & Liu, Wai-Man & Pham, Peter K. & Jarnecic, Elvis, 2004. "Public information arrival and volatility of intraday stock returns," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1441-1467, June.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
- Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
- Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
- Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
- Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
- Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
- Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
- Patrick Houlihan & Germán G. Creamer, 2017. "Can Sentiment Analysis and Options Volume Anticipate Future Returns?," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 669-685, December.
- Patrick Houlihan & Germán G. Creamer, 2021. "Leveraging Social Media to Predict Continuation and Reversal in Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 433-453, February.
- Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
- Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
- Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
- Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
- Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
- Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
- Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
- Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016.
"R2 and idiosyncratic volatility: Which captures the firm-specific return variation?,"
Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
- Wei Zhang & Xiao Li & Dehua Shen & Andrea Teglio, 2015. "R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation?," Working Papers 2015/06, Economics Department, Universitat Jaume I, Castellón (Spain).
- Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020. "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
- Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
- Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
- Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.
- Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
- Clements, A.E. & Liao, Y., 2020. "Firm-specific information and systemic risk," Economic Modelling, Elsevier, vol. 90(C), pages 480-493.
- Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
- Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
- Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
- Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
- Loredana Ureche-Rangau & Quiterie de Rorthays, 2009. "More on the volatility-trading volume relationship in emerging markets: The Chinese stock market," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(7), pages 779-799.
- Saswat Patra & Malay Bhattacharyya, 2021. "Does volume really matter? A risk management perspective using cross‐country evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 118-135, January.
- Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
- Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.
- Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
- Yadav, Pradeep K., 1992. "Event studies based on volatility of returns and trading volume: A review," The British Accounting Review, Elsevier, vol. 24(2), pages 157-184.
- Rob Bauer & Fred Nieuwland, 1995. "A multiplicative model for volume and volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 135-154.
- Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2019.
"Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 180-197, February.
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2018. "Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil," Working Paper series 18-13, Rimini Centre for Economic Analysis.
- Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012. "Internet, noise trading and commodity prices," Departmental Working Papers 2012-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
- Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
- Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
- Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2012. "Information Demand and Agriculture Commodity Prices," 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria 144973, International European Forum on System Dynamics and Innovation in Food Networks.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
- Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
More about this item
Keywords
Internet information; Mixture of Distribution Hypothesis; Trading and non-trading period information; Volatility persistence; GARCH;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:451:y:2016:i:c:p:519-524. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.