Publications [#358099] of Tim Bollerslev

Other

1. Bollerslev, T; Li, J; Xue, Y, Volume, Volatility and Public News Announcements (June, 2016)
   (last updated on 2024/04/24)

   Abstract:
   We provide new empirical evidence for the way in which financial markets process information. Our results are based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around the most important news announcements are systematically below unity. Our elasticity estimates also decrease significantly with measures of disagreements in beliefs, economic uncertainty, and textual-based sentiment, further highlighting the key role played by differences-of-opinion.