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

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  • Patricia Fraser
  • David Power
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    Abstract

    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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    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031097333592
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 7 (1997)
    Issue (Month): 3 ()
    Pages: 241-253

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    Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:241-253

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    Cited by:
    1. Talpsepp, T├Ánn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
    2. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 211-223.
    3. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    4. Gregory James & Michail Karoglou, 2009. "Financial Liberalisation and Stock Market Volatility: The Case of Indonesia," Discussion Paper Series 2009_11, Department of Economics, Loughborough University, revised Sep 2009.
    5. Abid Hameed & Hammad Ashraf, 2006. "Stock Market Volatility and Weak-form Efficiency: Evidence from an Emerging Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1029-1040.
    6. Morelli, David, 2002. "The relationship between conditional stock market volatility and conditional macroeconomic volatility: Empirical evidence based on UK data," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 101-110.

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