Information Demand and Stock Market Volatility

By Nikolaos D. Vlastakis, Raphael N. Markellos. 2012

521 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ec9372d59974d77b12e0b4969294bc4d461eb936

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. F. Teulon
2. D. Andrei
3. Amal Aouadi
4. Michael Hasler
5. Mohamed Arouri
6. George Filis
7. Perry Sadorsky
8. Stavros Degiannakis *

In Finance

1. F. Teulon
2. D. Andrei
3. Amal Aouadi
4. Michael Hasler
5. Mohamed Arouri
6. Perry Sadorsky
7. George Filis

Citations in the corpus

• Investor attention and stock market activity: Evidence from France (2013, methodology): “Following Vlastakis and Markellos (2012), we choose GSV of firm names rather than stock tickers, for a broad measure of the French investor attention.”
• Investor Attention and Stock Market Volatility (2015, background): “In our model, fluctuating attention is considered because it is sustained by empirical observations (e.g., Da et al., 2011; Vlastakis and Markellos, 2012).”
• Media Coverage and the Cost of Debt (2019, unknown): “Past studies suggest that the marginal benefit of information production is larger for firms with limited information provision and less reliable information (Grossman and Stiglitz (1980), Chung, McInish, Wood, and Wyhowski (1995), Veldkamp (2006), and Vlastakis and Markellos (2012)).”
• Does It Pay to Pay Attention (2018, unknown): “More recently, Da, Engelberg, and Gao (2011) propose the use of Google searches as a direct measure of aggregate attention and – using Google searches – Vlastakis and Markellos (2012) and Andrei and Hasler (2015) show that aggregate attention varies as a function of stock market volatility.”
• Investor Attention and FX Market Volatility (2015, unknown): “…stock price adjustments to earnings announcements (Drake et al., 2011), liquidity and returns (Bank et al., 2011), prediction of firms’ future cash flows (Da et al., 2010), biased attention towards local stocks (Mondria and Wu, 2012), and stock market volatility (Vlastakis and Markellos, 2012).”
• Google Search Intensity and Its Relationship with Returns and Trading Volume of Japanese Stocks (2014, unknown): “Similarly, Vlastakis and Markellos (2012) find that demand for information is positively related to volatility and to trading volumes for 30 major stocks traded in the NYSE and NASDAQ.”