Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond

Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

“…Thus, Lahmiri and Bekiros (2020) find that the portfolio composed of Bitcoin and the S&P 500 index could be risky due to the increased level of mutual information between the markets of these two assets during the pandemic period. This is confirmed by the findings of Banerjee and Pradhan (2022), which show that the linkages between markets cause a contagion effect in the futures markets of developed and emerging countries.…”

Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

“…Numerous news signals are available in the public domain and are used to understand asset pricing behaviour ( Gan et al, 2020 , Sanford, 2020 ). Extant literature also has supported that whenever news is unavailable in the public domain and it is released with a degree of surprise, the vibrancy in the markets is equally visible in prices and trading volume ( García et al, 2014 , Banerjee et al, 2020 , Banerjee and Pradhan, 2020 , Banerjee and Pradhan, 2021 ). The most prominent news market participants regularly follow in anticipation that news may have novelty are the economic and financial news ( Banerjee and Pradhan, 2020 ; Banerjee et al, (2021); Büttner and Hayo, 2010 ).…”

“…The most prominent news market participants regularly follow in anticipation that news may have novelty are the economic and financial news ( Banerjee and Pradhan, 2020 ; Banerjee et al, (2021); Büttner and Hayo, 2010 ). The impact of such news on various asset classes such as bonds, currencies, and stocks is well-documented ( Banerjee and Pradhan, 2021 , Brenner et al, 2009 , Luss and d’Aspremont, 2015 ).…”

Price Discovery Pada Pasar Obligasi Pemerintah Indonesia

“…Market microstructure literature defines various concepts of price discovery, including: "the process of finding the equilibrium price" (Czech et al, 2021), "collection and interpretation of news" (Banerjee & Pradhan, 2021), "the process of incorporating information implicit in investor trading into market prices" (Balcilar et al, 2021), "mechanisms for yield curve changes that are heterogeneous incorporation of private information and/or interpretation of public information through trading in the bond market" (Wang & Hu, 2021), and "integration of information in a timely manner into market prices" (Guidolin et al, 2021). From above definitions, it can be concluded that price discovery is a dynamic process that occurs naturally in which the process of creating market prices through rapid price adjustments driven by the presence of a series of information.…”

“…It reflects net buy pressure, differences of seller intiated trade and buyer-initiated trades. (Banerjee & Pradhan, 2021) define private information as information which is not known to all parties, except for few market participant who have better analytical skills and can obtain important information by paying a certain amount of money or having special connections with special sources of information so that they can forecast price movement better than average investors who only rely on public information. Periodic price adjustments implies that prices do not fully reflect all the information at that time and indicate that there is asymmetric information from market participants.…”