Media connection and return comovement

DOI10.1016/J.JEDC.2021.104191zbMath1475.91162OpenAlexW3181571059MaRDI QIDQ2246768

Yanyan Li

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/6865

zbMATH Keywords

complex economic linkagesfundamental comovementjournalists collective opinionsnews linkagesreturn comovement

Mathematics Subject Classification ID

Economics of information (91B44) Financial markets (91G15)

Cites Work

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Information Markets and the Comovement of Asset Prices

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