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 and Money
Language English
Keywords Information density; jump identification; macroeconomic announcements; noisy information; price discovery process.
Subjects business studies
economics
finance
HSG Classification contribution to scientific community
Refereed Yes
Date March 2018
Publisher Elsevier
Place of Publication Amsterdam
Series Name School of Finance Working Paper Series
Volume 53
Page Range 50-75
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 08 Aug 2018 11:17
URI: https://www.alexandria.unisg.ch/publications/243259

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Citation

Füss, Roland; Grabellus, Markus; Mager, Ferdinand & Stein, Michael (2018) Something in the Air : Information Density, News Surprises, and Price Jumps. Journal of International Financial Markets, Institutions and Money, 53 50-75. ISSN 1042-4431

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