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Response of Hourly Stock Prices and Trading Volume to Economic News

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Author Info
Jain, Prem C
Abstract

This paper examines hourly stock returns and trading volume response to announcements about the money supply, consumer price index (CPI), producer price index, industrial production, and the unemployment rate. The empirical results indicate that surprises in announcements about money supply and CPI are significantly associated with stock price changes. The announcements of the other three variables do not affect stock prices significantly. Trading volume is not affected by any of the five economic variable announcements, indicating that market participants do not differ substanti ally in the interpretations of the effects of announcements. The spee d of adjustment analysis indicates that the effect of information on stock prices is reflected in a short period of one hour or so. Copyright 1988 by the University of Chicago.

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File URL: http://www.jstor.org/fcgi-bin/jstor/listjournal.fcg/00219398/.61-.67
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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 61 (1988)
Issue (Month): 2 (April)
Pages: 219-31
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Handle: RePEc:ucp:jnlbus:v:61:y:1988:i:2:p:219-31

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  1. Alexandre Benos & Michael Rockinger, 2000. "Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies," Annales d'Economie et de Statistique, ADRES, issue 60, pages 07, Octobre-D. [Downloadable!]
  2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
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  3. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, EconWPA. [Downloadable!]
  5. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 119-135, May. [Downloadable!] (restricted)
  6. Sam Howison & David lamper, 2000. "Trading Volume in Models of Financial Derivatives," OFRC Working Papers Series 2000mf03, Oxford Financial Research Centre. [Downloadable!]
  7. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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