Public News Arrival and Cross-Asset Correlation Breakdown
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]
|Collections||ANU Research Publications|
|Source:||International Review of Finance|
|01_Ho_Public_News_Arrival_and_2018.pdf||289.5 kB||Adobe PDF||Request a copy|
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