详细信息和部门运动

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control Pub Date : 2025-02-01 DOI:10.1016/j.jedc.2024.105018

Hao Jiang , Sophia Zhengzi Li , Peixuan Yuan

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引用次数: 0

摘要

这篇论文显示了单个股票价格和行业走势中包含的粒状信息之间的紧密联系。我们发现，一个综合了广泛横截面个股价格变动的预测因子可以预测行业ETF的日内收益。当我们进一步整合来自结构模型的信息时，所得到的信息信号具有更强的回报可预测性。这些结果支持了总体冲击的颗粒和网络起源理论。

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Granular information and sectoral movements

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.

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来源期刊

Journal of Economic Dynamics & Control ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

199

期刊介绍： The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.