Scheduled macroeconomic news announcements and intraday market sentiment

被引：8

作者：

Seok, Sangik ^{[1
]}

Cho, Hoon ^{[2
]}

Ryu, Doojin ^{[3
]}

机构：

[1] Univ Ulsan, Coll Business Adm, Ulsan, South Korea

[2] Korea Adv Inst Sci & Technol, Coll Business, Seoul, South Korea

[3] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2022年 / 62卷

基金：

新加坡国家研究基金会;

关键词：

Behavioral finance; Intraday market sentiment; Macroeconomic news; High -frequency data; Stock market reaction; INVESTOR SENTIMENT; STOCK RETURNS; TRADING BEHAVIOR; CROSS-SECTION; PREDICTABILITY; VOLATILITY; LIQUIDITY; PRICES;

D O I：

10.1016/j.najef.2022.101739

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the effects of scheduled macroeconomic news on intraday and daily market sentiment by comparing sentiment on news announcement dates with that on non-announcement dates. Announcements of macroeconomic indicators change neither intraday nor daily market sentiment. However, the directions of the announced values have asymmetric effects on intraday market sentiment, although they do not affect daily market sentiment. For example, an announcement of an increase in the gross domestic product (GDP) reduces short-term intraday market sentiment, whereas an announcement of a decrease in GDP does not significantly affect intraday market sentiment. We also find that the effect of intraday market sentiment on shortterm market returns is greater following announcements of macroeconomic indicators that significantly affect intraday market sentiment.

引用

页数：18

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