Universität zu Köln

Hess, Dieter and Niessen, Alexandra (2010). THE EARLY NEWS CATCHES THE ATTENTION: ON THE RELATIVE PRICE IMPACT OF SIMILAR ECONOMIC INDICATORS. J. Futures Mark., 30 (10). S. 909 - 938. HOBOKEN: WILEY. ISSN 1096-9934

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Abstract

This study investigates why financial markets react to the release of some economic indicators while ignoring others with similar informational content. Based on a Bayesian learning model, we show that the market impact of an economic indicator depends crucially on its early availability. The sequential introduction of the two largest German business surveys provides a natural experiment by which the model's implications are tested empirically. We show that even a large and well-established indicator loses market impact if a similar indicator is launched and released earlier. (C) 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:909-937, 2010

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hess, Dieter UNSPECIFIED UNSPECIFIED UNSPECIFIED Niessen, Alexandra UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-495750
DOI:	10.1002/fut.20450
Journal or Publication Title:	J. Futures Mark.
Volume:	30
Number:	10
Page Range:	S. 909 - 938
Date:	2010
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1096-9934
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language MACROECONOMIC NEWS; INFORMATION; MARKETS; BOND; STOCK; VOLATILITY; OPTION Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/49575