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On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements

  • Brenner, Menachem
  • Pasquariello, Paolo
  • Subrahmanyam, Marti

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Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 44 (2009)
Issue (Month): 06 (December)
Pages: 1265-1289

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Handle: RePEc:cup:jfinqa:v:44:y:2009:i:06:p:1265-1289_99
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  25. Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 23-56.
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