SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
What Moves the Bond Market
0 references·16 citing·52 second hopsampled
What Moves the Bond Market (1997)What Moves the Bond MarketImpact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (2020)Impact of macroeconomic news,…Is the intrinsic value of a macroeconomic news announcement related to its asset price impact? (2017)Is the intrinsic value of a m…Money and liquidity in financial markets (2013)Money and liquidity in financ…Identification and Inference Using Event Studies (2013)Identification and Inference …Information aggregation around macroeconomic announcements: Revisions matter (2011)Information aggregation aroun…The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010)The Term Structure of Bond Ma…Simultaneous monetary policy announcements and international stock markets response: An intraday analysis (2010)Simultaneous monetary policy …When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions (2009)When It Cannot Get Better or …The on-the-run liquidity phenomenon (2009)The on-the-run liquidity phen…Empirical evidence on jumps in the term structure of the US Treasury Market (2009)Empirical evidence on jumps i…Information shares in the US Treasury market (2007)Information shares in the US …Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Monetary Policy Announcements and Money Markets: A Transatlantic Perspective (2003)Monetary Policy Announcements…Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets (2003)Macroeconomic news announceme…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Economic News and the Yield Curve: Evidence from the U.S. Treasury Market (1998)Economic News and the Yield C…Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Differences of Opinion and the Cross Section of Stock Returns (2002)The Cost of Short‐Selling Liquid Securities (2012)Strategic Cross-Trading in the U.S. Stock Market (2013)Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity—Theory and Empirical Evidence (2013)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Cojumping: Evidence from the US Treasury bond and futures markets (2012)Cojumps in stock prices: Empirical evidence (2013)Modelling systemic price cojumps with Hawkes factor models (2015)Stock Returns, Real Activity, Inflation, and Money (1981)Economic Forces and the Stock Market (1986)A global index of information transparency and accountability (2014)Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability (2017)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Co-integration and causality analysis between stock market prices and their determinates in Jordan (2013)Does central bank transparency affect stock market volatility? (2014)Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach (2021)New Indexes of Coincident and Leading Economic Indicators (1989)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Systemic risk and asymmetric responses in the financial industry (2015)The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China (2015)Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Expected stock returns and volatility (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Modeling and Forecasting Realized Volatility (2003)Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market (2021)Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies (2021)Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for Common Trends (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)The microstructure of a U.S. Treasury ECN: The BrokerTec platform (2017)Price discovery in Bitcoin: The impact of unregulated markets (2020)Stock return variances (1986)Measuring and Testing the Impact of News on Volatility (1993)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data (2008)Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries (2012)The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis (2017)A model of investor sentiment /Discretion versus policy rules in practice (1993)Time-varying liquidity in foreign exchange (2002)Nonlinear prediction of exchange rates with monetary fundamentals (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2010The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns141 cited
  • 2007Information shares in the US Treasury market137 cited
  • 2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin136 cited
  • 2009The on-the-run liquidity phenomenon123 cited
  • 2010Simultaneous monetary policy announcements and international stock markets response: An intraday analysis122 cited
  • 2009Empirical evidence on jumps in the term structure of the US Treasury Market113 cited
  • 2011Information aggregation around macroeconomic announcements: Revisions matter112 cited
  • 2003Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets106 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange101 cited
  • 2009When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions97 cited
  • 2013Identification and Inference Using Event Studies93 cited
  • 2017Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?88 cited
  • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission85 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1998Economic News and the Yield Curve: Evidence from the U.S. Treasury Market84 cited
  • 2013Money and liquidity in financial markets83 cited
  • 2003Monetary Policy Announcements and Money Markets: A Transatlantic Perspective82 cited