EconStor >
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim >
ZEW Discussion Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/24562
  
Title:Stale information, shocks and volatility PDF Logo
Authors:Gropp, Reint Eberhard
Kadareja, Arjan
Issue Date:2007
Series/Report no.:ZEW Discussion Papers 07-012
Abstract:We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the quality of available public information about the banks. We hypothesise that, as the publicly available information becomes stale, volatility effects and its persistance should increase, as the private information (beliefs) of investors become more important. We find strong support for this idea in the data. We argue that the results have implications for debate surrounding the opacity of banks and the transparency requirements that may be imposed on banks under Pillar III of the New Basel Accord
Subjects:Realized volatility
public information
transparency
JEL:G14
G21
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

Files in This Item:
File Description SizeFormat
dp07012.pdf1.97 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/24562

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.