股票市场的消息到达与收益跳跃：一个非参数方法
The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach
摘要：
本文介绍了一个非参数框架，统计研究如何新闻事件，如公司或宏观经济公告，有助于在事件前和事件后的股票价格的跳跃动态下，日内的季节性的新闻和跳跃。我们证明了我们的框架，它有几个优势，现有的方法，通过使用数据i）标准普尔500指数ETF，SPY，宏观经济公告和ii）纳斯达克北欧大盘股与定期和不定期的公司公告。我们提供了强有力的证据表明，非预定的公司公告和一些宏观经济公告有助于跳跃，以下的释放，也有一些证据的预跳之前预定到达的公共信息，这可能表明非渐进的信息泄漏。特别是北欧大型公司的中期报告被发现包含重要的信息，以产生股票价格的跳跃。此外，我们的研究结果表明，意外信息的发布并没有在整个纳斯达克北欧市场统一的反应，即使他们是联合经营，并基于相同的交易所规则。
英文摘要：
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which has several advantages over the existing methods, by using data for i) the S&P 500 index ETF, SPY, with macroeconomic announcements and ii) Nasdaq Nordic Large-Cap stocks with scheduled and non-scheduled company announcements. We provide strong evidence that non-scheduled company announcements and some macroeconomic announcements contribute jumps that follow the releases and also some evidence for pre-jumps that precede the scheduled arrivals of public information, which may indicate non-gradual information leakage. Especially interim reports of Nordic large-cap companies are found containing important information to yield jumps in stock prices. Additionally, our results show that releases of unexpected information are not reacted to uniformly across Nasdaq Nordic markets, even if they are jointly operated and are based on the same exchange rules.
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