Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis

Abstract This study uses Baidu News data and introduces a novel proxy for the rate of information flow to examine its relationship with return volatility in Chinese commodity futures and to test two competing hypotheses. We examine the contemporaneous relationships using correlation coefficient anal...

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Главные авторы:	Ruwei Zhao, Xiong Xiong, Junjun Ma, Yuzhao Zhang, Yongjie Zhang
Формат:	Artigo
Язык:	Inglês
Опубликовано:	SpringerOpen 2025-02-01
Серии:	Financial Innovation
Предметы:	Baidu News Chinese commodity futures Return volatility Sequential information arrival hypothesis Mixture of distribution hypothesis
Online-ссылка:	https://doi.org/10.1186/s40854-025-00753-4
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