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Relative importance of scheduled macroeconomic news for stock market investors

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  • Michael Graham
  • Jussi Nikkinen
  • Petri Sahlström

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    File URL: http://hdl.handle.net/10.1007/BF02827216
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 2 (June)
    Pages: 153-165

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    Handle: RePEc:spr:jecfin:v:27:y:2003:i:2:p:153-165

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Karfakis, Costas & Kim, Suk-Joong, 1995. "Exchange rates, interest rates and current account news: some evidence from Australia," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(4), pages 575-595, August.
    3. Hakkio, Craig S & Pearce, Douglas K, 1985. "The Reaction of Exchange Rates to Economic News," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 23(4), pages 621-36, October.
    4. Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, Elsevier, vol. 52(5), pages 405-421.
    5. Thornton, Daniel L., 1989. "The effect of unanticipated money on the money and foreign exchange markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 8(4), pages 573-587, December.
    6. Kim, Suk-Joong & Sheen, Jeffrey, 2000. "International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 8(1), pages 85-113, March.
    7. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
    8. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(4), pages 1161-91, September.
    9. Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 31-56, March.
    10. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 281-300, June.
    11. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 103-122, October.
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    Cited by:
    1. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
    2. Li, Lifang & Narayan, Paresh Kumar & Zheng, Xinwei, 2010. "An analysis of inflation and stock returns for the UK," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(5), pages 519-532, December.
    3. Gülüzar Kurt Gümüs & A. Tülay Yücel & Deniz Karaoglan & Saban Celik, 2011. "The Impact Of Domestic And Foreign Macroeconomic News On Stock Market Volatility: Istanbul Stock Exchange Futures Market," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, Bogazici University, Department of Economics, vol. 25(1), pages 123-137.
    4. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "The US macroeconomic news announcements and the within-month effects on the Bucharest Stock Exchange," MPRA Paper 41626, University Library of Munich, Germany, revised 11 Oct 2011.
    5. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2011. "Impact of the domestic and the US macroeconomic news on the Romanian stock market," MPRA Paper 41623, University Library of Munich, Germany, revised 08 Sep 2011.
    6. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
    7. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
    8. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 19(5), pages 395-408, December.

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