Granular information and sectoral movements

被引：0
作者：
Jiang, Hao [1 ]
Li, Sophia Zhengzi [2 ]
Yuan, Peixuan [3 ]
机构：
[1] Michigan State Univ, Eli Broad Coll Business, E Lansing, MI USA
[2] Rutgers Business Sch, Newark, NJ 07102 USA
[3] Hong Kong Baptist Univ, Sch Business, Hong Kong, Peoples R China
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2025年 / 171卷
基金：
中国国家自然科学基金;
关键词：
Granular information; Sectoral movements; Exchange-traded funds; CROSS-SECTION; INTRADAY; RETURN; ORIGINS;
D O I：
10.1016/j.jedc.2024.105018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of sector ETF. When we further incorporate the information from structural models, the resulting information signal has even stronger return predictability. These results support theories of granular and network origins of aggregate shocks.
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页数：18
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