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Bad news and Dow Jones make the Spanish stocks go round

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  • Blasco, Natividad
  • Corredor, Pilar
  • Del Rio, Cristina
  • Santamaria, Rafael

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  • Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
  • Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:253-275
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    References listed on IDEAS

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    1. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    2. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, Oxford University Press, vol. 108(4), pages 905-939.
    3. N. Blasco & P. Corredor & R. Santamaria, 2002. "Is bad news cause of asymmetric volatility response? A note," Applied Economics, Taylor & Francis Journals, vol. 34(10), pages 1227-1231.
    4. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross-Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, April.
    5. Cheng F. Lee & Gong-meng Chen & Oliver M. Rui, 2001. "Stock Returns And Volatility On China'S Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 523-543, December.
    6. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March.
    7. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    8. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-321, March.
    9. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
    10. He, Hua & Wang, Jiang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
    11. repec:hrv:faseco:30725119 is not listed on IDEAS
    12. Kate Phylaktis & Manolis G Kavussanos & Gikas Manalis, 1996. "Stock prices and the flow of information in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 2(1), pages 113-126.
    13. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 383-408, September.
    14. La Porta, Rafael, et al, 1997. " Good News for Value Stocks: Further Evidence on Market Efficiency," Journal of Finance, American Finance Association, vol. 52(2), pages 859-874, June.
    15. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    16. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
    17. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    18. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
    19. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
    20. Hiemstra, Craig & Jones, Jonathan D, 1994. " Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    21. David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
    22. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-161, March.
    23. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
    24. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    25. Ainhoa Zarraga Alonso, 1998. "Análisis de causalidad entre rendimiento y volumen," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 45-67, January.
    26. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
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    Cited by:

    1. Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2009. "Detecting intentional herding: what lies beneath intraday data in the spanish stock market," Documentos de Trabajo dt2009-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    2. Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 99-126.
    3. Tsai, Ming-Feng & Wang, Chuan-Ju, 2017. "On the risk prediction and analysis of soft information in finance reports," European Journal of Operational Research, Elsevier, vol. 257(1), pages 243-250.

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