Title: Bad News and Dow Jones Make the Spanish Stock Go Round
Abstract: This paper is a data-based attempt to analyze what kind of information basically affects close-to-open returns, open-to-close returns, volatility and volume in actively traded individual securities on the Spanish stock market. Specifically, we are interested in detecting how these variables react to specific pieces of news considered as exogenous information. However, as volume itself could be interpreted as a proxy of the information flow, we first apply the linear and nonlinear Granger causality test from volume to return and to volatility. We do not find evidence supporting this latter hypothesis. Furthermore, we only find significant evidence of linear causality from volume to volatility. The other major finding is that both bad news and the Dow Jones play a significant informational role in explaining price changes and trading after filtering for news, although we do not find evidence in favor of this argument.
Publication Year: 2006
Publication Date: 2006-03-29
Language: en
Type: article
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Cited By Count: 5
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