Skip navigation
Skip navigation

Public News Arrival and Cross-Asset Correlation Breakdown

Ho, Kin-Yip; Liu, Wai-Man (Raymond); Yu, Jing

Description

This study models and tests empirically the role of public news arrivals in the quote matching across single‐stock futures and underlying stock markets—a trading strategy often adopted by algorithmic traders. Our model suggests that quote return correlation across these two markets breaks down when the news uncertainty is sufficiently large and futures market makers switch from automating the quote matching process to manually analyze, monitor, and update quotes. We show empirically that the...[Show more]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
URI: http://hdl.handle.net/1885/160425
Source: International Review of Finance
DOI: 10.1111/irfi.12156

Download

File Description SizeFormat Image
01_Ho_Public_News_Arrival_and_2018.pdf289.5 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  22 January 2019/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator