Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets

Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results suggest substantial asymmetries in the dynamics of price changes both within and across markets.

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Year of publication:	1997
Authors:	Fraser, Patricia ; Power, David
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 7.1997, 3, p. 241-253
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009200840