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This analysis uses Twitter stock and options prices sampled at a 30 s frequency around the fake news announcement, of a bid for a controlling stake in Twitter stock, to investigate how noise trading and informed trading is disseminated into equity and option markets. We find reaction to the fake news occurred in the equity market, and the option market reacted with a delay. This differs from many analyses of actual news events, which found informed traders prefer the options market, and information from their trades then leaks into the equity market. We conclude uninformed traders, and those aware of the hoax, prefer to trade in equity over option markets. This result has implications for isolating informed trading around actual news events. 相似文献
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Bradley T. Ewing 《Managerial and Decision Economics》2002,23(8):439-446
This research is concerned with the response of the NASDAQ Financial 100 index to macroeconomic news. The paper employs the newly developed technique of generalized impulse response analysis to examine how macroeconomic shocks affect the performance of the financial sector. The results identify the magnitude and persistence of the response of financial companies stock returns arising from shocks to the stance of monetary policy, real output, inflation, and risk. The findings add to the literature on the determinants of financial sector stocks and on the relationship between the stock market and the macroeconomy. Copyright © 2002 John Wiley & Sons, Ltd. 相似文献
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