Media Coverage and the Cross‐Section of Stock Returns: The Chinese Evidence
In: International Review of Finance, Band 19, Heft 4, S. 707-729
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In: International Review of Finance, Band 19, Heft 4, S. 707-729
SSRN
In: Emerging markets, finance and trade: EMFT, Band 57, Heft 4, S. 1232-1246
ISSN: 1558-0938
In: Pacific economic review, Band 12, Heft 5, S. 665-681
ISSN: 1468-0106
Abstract. The effect of information flows on the return volatility of Australian 3‐year Treasury bond futures is examined using linear and non‐linear GARCH models. Results show significant asymmetric information effects, where bad news has a greater impact on volatility than good news and a non‐linear Threshold ARCH(1,1) in mean model provides the most accurate estimation of return volatility. Diagnostic tests confirm this finding and out of sample forecasting error statistics verify that the Threshold ARCH(1,1) in mean model yields the lowest forecasting error. The Threshold ARCH(1,1)‐M model is best at capturing the asymmetric information impact on the Australian three‐year T‐Bond futures return volatility.
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Working paper
In: Accounting & Finance, Band 59, Heft 5, S. 3053-3103
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In: Ecotoxicology and environmental safety: EES ; official journal of the International Society of Ecotoxicology and Environmental safety, Band 249, S. 114371
ISSN: 1090-2414
In: Applied Economics, forthcoming
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