Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures-Reference-Cited by-同舟云学术

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Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures

Published:2015-04-22 Issue:3 Volume:36 Page:240-266
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Chen Jing¹,Liu Yu-Jane²,Lu Lei³,Tang Ya⁴

Affiliation:

1. Chen is at the Guanghua School of Management, Peking University; Beijing China

2. Liu is at the Guanghua School of Management, Peking University; Beijing China

3. Lu is at the Guanghua School of Management, Peking University; Beijing China

4. Tang is at Peking University; Beijing China

Funder

National Nature Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21727/fullpdf

Reference60 articles.

1. Optimal inattention to the stock market;Abel;American Economic Review,2007

2. What's in a “China” name? A test of investor attention hypothesis;Bae;Financial Management,2012

3. Around-the-Clock Media Coverage and the Timing of Earnings Announcements

4. Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China;Bailey;Journal of Banking & Finance,2009

5. Economic news and bond prices: Evidence from the US Treasury market;Balduzzi;Journal of Financial and Quantitative Analysis,2001

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