Granular information and sectoral movements

Hao Jiang; Sophia Zhengzi Li; Peixuan Yuan

doi:10.1016/j.jedc.2024.105018

Granular information and sectoral movements

Hao Jiang
, Sophia Zhengzi Li^*
, Peixuan Yuan

^*Corresponding author for this work

Department of Accountancy, Economics and Finance

Research output: Contribution to journal › Journal article › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Article number	105018
Number of pages	18
Journal	Journal of Economic Dynamics and Control
Volume	171
DOIs	https://doi.org/10.1016/j.jedc.2024.105018
Publication status	Published - Feb 2025

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth

User-Defined Keywords

Exchange-traded funds
Granular information
Sectoral movements

Access to Document

10.1016/j.jedc.2024.105018

Cite this

@article{6d63cbe52ed24da7bb3708333d421b2d,

title = "Granular information and sectoral movements",

abstract = "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.",

keywords = "Exchange-traded funds, Granular information, Sectoral movements",

author = "Hao Jiang and Li, \{Sophia Zhengzi\} and Peixuan Yuan",

note = "Funding Information: Peixuan Yuan acknowledges financial support from the National Natural Science Foundation of China (Grant 72303233). Publisher Copyright: {\textcopyright} 2024 The Author(s). Published by Elsevier B.V.",

year = "2025",

month = feb,

doi = "10.1016/j.jedc.2024.105018",

language = "English",

volume = "171",

journal = "Journal of Economic Dynamics and Control",

issn = "0165-1889",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Granular information and sectoral movements

AU - Jiang, Hao

AU - Li, Sophia Zhengzi

AU - Yuan, Peixuan

N1 - Funding Information: Peixuan Yuan acknowledges financial support from the National Natural Science Foundation of China (Grant 72303233). Publisher Copyright: © 2024 The Author(s). Published by Elsevier B.V.

PY - 2025/2

Y1 - 2025/2

N2 - 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.

AB - 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.

KW - Exchange-traded funds

KW - Granular information

KW - Sectoral movements

UR - https://www.scopus.com/pages/publications/85210634747

U2 - 10.1016/j.jedc.2024.105018

DO - 10.1016/j.jedc.2024.105018

M3 - Journal article

AN - SCOPUS:85210634747

SN - 0165-1889

VL - 171

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

M1 - 105018

ER -

Granular information and sectoral movements

Abstract

UN SDGs

User-Defined Keywords

Access to Document

Other files and links

Fingerprint

Cite this