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Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements
16 references·7 citing·46 second hop
Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements (2006)Turn‐of‐the‐month and intramonth effects:…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The relation between implied and realized volatility (1998)The relation between implied …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Predicting stock market volatility: A new measure (1995)Predicting stock market volat…Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …A monthly effect in stock returns (1987)A monthly effect in stock ret…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Turn-of-the-month effect in three major emerging countries (2020)Turn-of-the-month effect in t…The impacts of public news announcements on intraday implied volatility dynamics (2019)The impacts of public news an…The Turn of the Month Effect in Asia-Pacific Markets: New Evidence (2017)The Turn of the Month Effect …Calendar anomaly: unique evidence from the Indian stock market (2017)Calendar anomaly: unique evid…Impact of news announcements on the foreign exchange implied volatility (2012)Impact of news announcements …Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen (2011)Comparison of the ‘turn-of-th…The Fed's policy decisions and implied volatility (2010)The Fed's policy decisions an…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance (2006)The Determinants of Stock and Bond Return Comovements (2010)Investor Attention and Stock Market Volatility (2014)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1989Foundations for Financial Economics.831 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1987A monthly effect in stock returns720 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1994

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Anomalies or illusions? Evidence from stock markets in eighteen countries
543 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • Cited by

    • 2010The Fed's policy decisions and implied volatility71 cited
    • 2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
    • 2012Impact of news announcements on the foreign exchange implied volatility36 cited
    • 2020Turn-of-the-month effect in three major emerging countries30 cited
    • 2011Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen25 cited
    • 2017Calendar anomaly: unique evidence from the Indian stock market23 cited
    • 2017The Turn of the Month Effect in Asia-Pacific Markets: New Evidence20 cited