Work

Granular information and sectoral movements

Year: 2024

Type: article

Abstract: This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of sector ETF. When we further incorporate the information from structural models, the resulting information signal has even stronger return predictability. These results support theories of granular and network origins of aggregate shocks.

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/j.jedc.2024.105018

Authors: Hao Jiang, Sophia Zhengzi Li, Peixuan Yuan

Institutions: Michigan State University, Rutgers, The State University of New Jersey, Hong Kong Baptist University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,890