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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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-02-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-025-00753-4 |
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