“Fast money” around Federal Statistics Releases
Author
Abstract
Suggested Citation
DOI: 10.1111/ajae.12356
Download full text from publisher
References listed on IDEAS
- Thierry Foucault & Johan Hombert & Ioanid Roşu, 2016.
"News Trading and Speed,"
Journal of Finance, American Finance Association, vol. 71(1), pages 335-382, February.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713376, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713377, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713374, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713372, HAL.
- Foucault , Thierry & Hombert , Johan & Rosu, Ioanid, 2013. "News Trading and Speed," HEC Research Papers Series 975, HEC Paris.
- Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
- Adjemian, Michael K. & Irwin, Scott H., 2020. "The market response to government crop news under different release regimes," Journal of Commodity Markets, Elsevier, vol. 19(C).
- Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
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.- Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
- Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
- Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
- Lepori, Gabriele M., 2015. "Investor mood and demand for stocks: Evidence from popular TV series finales," Journal of Economic Psychology, Elsevier, vol. 48(C), pages 33-47.
- Elenev, Vadim & Law, Tzuo-Hann & Song, Dongho & Yaron, Amir, 2024.
"Fearing the Fed: How wall street reads main street,"
Journal of Financial Economics, Elsevier, vol. 153(C).
- Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
- Martin Širůček, 2013.
"Impact of money supply on stock bubbles,"
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2835-2842.
- Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
- Kari Harju & Syed Mujahid Hussain, 2011. "Intraday Seasonalities and Macroeconomic News Announcements," European Financial Management, European Financial Management Association, vol. 17(2), pages 367-390, March.
- Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
- Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
- Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
- Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
- James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
- Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015. "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 1-14.
- Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016.
"Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis,"
International Review of Financial Analysis, Elsevier, vol. 45(C), pages 180-188.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis," Discussion Papers of DIW Berlin 1399, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis," CESifo Working Paper Series 4912, CESifo.
- Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023.
"When is the order-to-trade ratio fee effective?,"
Journal of Financial Markets, Elsevier, vol. 62(C).
- NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the order-to-trade ratio fee effective?," Working Papers 11, xKDR.
- Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
- Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
- Tim Bollerslev & Jia Li & Yuan Xue, 2018.
"Volume, Volatility, and Public News Announcements,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2005-2041.
- Tim Bollerslev & Jia Li & Yuan Xue, 2016. "Volume, Volatility and Public News Announcements," CREATES Research Papers 2016-19, Department of Economics and Business Economics, Aarhus University.
- Fatum, Rasmus & Scholnick, Barry, 2008.
"Monetary policy news and exchange rate responses: Do only surprises matter?,"
Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
- Rasmus Fatum & Barry Scholnick, "undated". "Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?," EPRU Working Paper Series 05-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2005.
Corrections
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:wly:ajagec:v:105:y:2023:i:4:p:1248-1266. 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: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1111/(ISSN)1467-8276 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.