کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7347433 1476500 2018 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis
ترجمه فارسی عنوان
جریان اطلاعات بایو و بی ثباتی بازگشت: شواهد برای فرضیه ورودی اطلاعات پیوسته
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper employs Baidu News as the proxy for information flow and investigates competing hypotheses on the relationships between information flow and return volatility in Chinese stock market. The empirical results show that: (1) trading volume and return volatility are not driven by the same variable, i.e., the information flow, and thus contradicts the predication of the Mixture of Distribution Hypothesis (MDH); (2) there exist significant lead-lag relationships between information flow and return volatility, which is in accordance with the Sequential Information Arrival Hypothesis (SIAH); (3) these findings are robust to alternative measurement of return volatility and subsample analysis. Generally speaking, these findings contradict the prediction of MDH and support the SIAH.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 69, January 2018, Pages 127-133
نویسندگان
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