Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night?

Author:

Jeon Yoontae,McCurdy Thomas H.,Szaura Stephen

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference64 articles.

1. Asset Pricing and the Bid-Ask Spread;Y Amihud;Journal of Financial Economics,1986

2. Is all that talk just noise? The information content of internet stock message boards;W Antweiler;Journal of Finance,2004

3. 2021a. Public news and stock market volatility;S R Baker;NBER Working Paper

4. 2021b. What Triggers Stock Market Jumps?;S R Baker;NBER Working Paper

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