Something in the Air : Information Density, News Surprises, and Price Jumps

Item Type Journal paper
Abstract

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy "ticker" news before scheduled macroeconomic announcements, is significantly related to the likelihood of price jumps and independent of the magnitude of news surprises or pre-announcement trading activity. We therefore interpret this variable as a measure of additional uncertainty in the market, which is resolved by macroeconomic news as "hard" facts.

Authors Füss, Roland; Grabellus, Markus; Mager, Ferdinand & Stein, Michael
Journal or Publication Title Journal of International Financial Markets, Institutions & Money
Language English
Keywords Information density; jump identification; macroeconomic announcements; noisy information; price discovery process.
Subjects business studies
economics
finance
Institute/School SEW - Swiss Institute for Empirical Economic Research
s/bf - Swiss Institute of Banking and Finance
HSG Classification contribution to scientific community
Refereed Yes
Date 20 September 2017
Publisher Elsevier
Place of Publication Amsterdam
Series Name School of Finance Working Paper Series
Volume In Press
ISSN 1042-4431
ISSN-Digital 1873-0612
Publisher DOI 10.1016/j.intfin.2017.09.011
Depositing User Prof. Dr. Roland Füss
Date Deposited 17 Aug 2015 16:40
Last Modified 22 Nov 2017 09:38
URI: https://www.alexandria.unisg.ch/publications/243259

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Citation

Füss, Roland; Grabellus, Markus; Mager, Ferdinand & Stein, Michael (2017) Something in the Air : Information Density, News Surprises, and Price Jumps. Journal of International Financial Markets, Institutions & Money, In Press ISSN 1042-4431

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https://www.alexandria.unisg.ch/id/eprint/243259
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