According to Financial Econometrics Professor Dick van Dijk, recently developed econometric techniques making it possible to measure the impact of an interest rate adjustment on share prices more precisely. He discovered that there are sharp differences between the effects of good news and of bad news. On Thursday, 15 November 2007, Prof. van Dijk will deliver his inaugural lecture entitled Good news is no news at the Erasmus University Rotterdam.
News plays a crucial role in pricing on financial markets. In an efficient market, current prices reflect all the information available at that moment, so that only genuinely new information will lead to a price adjustment. The smallest unexpected adjustment in interest rates has an immediate impact on all share prices, while a large interest rate adjustment that investors already expected will not generate a response on the stock markets.
Van Dijk shows that it is possible to measure the effects of an adjustment in US interest rates precisely if you track share prices on the New York stock exchange up to the minute. An unexpected interest rate adjustment of 0.25% leads to a return of more than 1% within five minutes of the news being announced.
The effects of positive and negative news on share prices also differ considerably. Only if there is good news does the stock market response depend on the amount of the unexpected cut in interest rates. If there is bad news, prices respond only to the fact that the interest rate increase was unexpected.
Dick van Dijk (1971) is a Professor of Financial Econometrics at the Econometric Institute of the Economic Sciences Faculty. He received his PhD (cum laude) in 1999 from the Erasmus University Rotterdam. His research focused on econometric models to describe and predict financial variables such as share risks and returns. He has published in the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Econometrics, the Journal of Empirical Finance and the Review of Economics and Statistics, and co-authored Nonlinear Time Series Models in Empirical Finance (with Philip Hans Franses, Cambridge University Press, 2000).
Yvette Nelen | alfa
Europe's microtechnology industry is attuned to growth
10.03.2017 | IVAM Fachverband für Mikrotechnik
Preferential trade agreements enhance global trade at the expense of its resilience
17.02.2017 | International Institute for Applied Systems Analysis (IIASA)
Astronomers from Bonn and Tautenburg in Thuringia (Germany) used the 100-m radio telescope at Effelsberg to observe several galaxy clusters. At the edges of these large accumulations of dark matter, stellar systems (galaxies), hot gas, and charged particles, they found magnetic fields that are exceptionally ordered over distances of many million light years. This makes them the most extended magnetic fields in the universe known so far.
The results will be published on March 22 in the journal „Astronomy & Astrophysics“.
Galaxy clusters are the largest gravitationally bound structures in the universe. With a typical extent of about 10 million light years, i.e. 100 times the...
Researchers at the Goethe University Frankfurt, together with partners from the University of Tübingen in Germany and Queen Mary University as well as Francis Crick Institute from London (UK) have developed a novel technology to decipher the secret ubiquitin code.
Ubiquitin is a small protein that can be linked to other cellular proteins, thereby controlling and modulating their functions. The attachment occurs in many...
In the eternal search for next generation high-efficiency solar cells and LEDs, scientists at Los Alamos National Laboratory and their partners are creating...
Silicon nanosheets are thin, two-dimensional layers with exceptional optoelectronic properties very similar to those of graphene. Albeit, the nanosheets are less stable. Now researchers at the Technical University of Munich (TUM) have, for the first time ever, produced a composite material combining silicon nanosheets and a polymer that is both UV-resistant and easy to process. This brings the scientists a significant step closer to industrial applications like flexible displays and photosensors.
Silicon nanosheets are thin, two-dimensional layers with exceptional optoelectronic properties very similar to those of graphene. Albeit, the nanosheets are...
Enzymes behave differently in a test tube compared with the molecular scrum of a living cell. Chemists from the University of Basel have now been able to simulate these confined natural conditions in artificial vesicles for the first time. As reported in the academic journal Small, the results are offering better insight into the development of nanoreactors and artificial organelles.
Enzymes behave differently in a test tube compared with the molecular scrum of a living cell. Chemists from the University of Basel have now been able to...
20.03.2017 | Event News
14.03.2017 | Event News
07.03.2017 | Event News
23.03.2017 | Health and Medicine
23.03.2017 | Physics and Astronomy
22.03.2017 | Materials Sciences