Information processing is a fundamental determinant of price discovery in the stock market. We utilize new approaches to analyzing information variables to better understanding how news and information search, considered as information supply and demand, interact and affect stock prices. In our research project, we aim to show incremental knowledge of how information supply and demand in the stock market interact, how market participants contribute to the information diffusion, and how information supply and demand jointly affect stock prices.
Funding
The Jan Wallander and Tom Hedelius foundation, and the Tore Browaldh foundation (SEK 1.3 million)
Researchers
Jarkko Peltomäki, Anton Hasselgren, Jussi Nikkinen (University of Vaasa, Finland), Michael Graham (University of Stellenbosch Business School, South Africa).
