英文标题：
《When does the stock market listen to economic news? New evidence from
copulas and news wires》
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作者：
Ivan Medovikov
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最新提交年份：
2014
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英文摘要：
We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic conditions and surprises associated with releases of economic data, we find that the market reacts strongly and negatively to the most unfavourable macroeconomic news, but appears to largely discount the good news. This relationship persists throughout the different stages of the business cycle.
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中文摘要：
我们利用copulas统计理论研究了宏观经济新闻与股市收益之间的关联，并提出了一种新的基于新闻线索引的综合新闻度量方法。我们发现经济新闻对股票收益的影响是非线性和不对称的。特别是，通过控制经济状况和与经济数据发布相关的惊喜，我们发现市场对最不利的宏观经济消息做出了强烈和消极的反应，但似乎在很大程度上低估了好消息。这种关系贯穿于商业周期的不同阶段。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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