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'Information effect' of economic news: SPI futures

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  • Tan, Oon Geok
  • Gannon, Gerard L.

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  • Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
    • Handle: RePEc:eee:finana:v:11:y:2002:i:4:p:467-489
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    References listed on IDEAS

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    1. 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.
    2. Jordan, James V. & Seale, William E. & Dinehart, Steve & Kenyon, David E., 1988. "The Intraday Variability Of Soybean Futures Prices: Information And Trading Effects," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270296, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Jain, Prem C, 1988. "Response of Hourly Stock Prices and Trading Volume to Economic News," The Journal of Business, University of Chicago Press, vol. 61(2), pages 219-231, April.
    4. Kim, O & Verrecchia, Re, 1991. "Trading Volume And Price Reactions To Public Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 302-321.
    5. Locke, P R & Sayers, C L, 1993. "Intra-day Futures Price Volatility: Information Effects and Variance Persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 15-30, Jan.-Marc.
    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    7. 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.
    8. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    9. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 269-283, September.
    10. Jennings, R & Starks, L, 1985. "Information-Content And The Speed Of Stock-Price Adjustment," Journal of Accounting Research, Wiley Blackwell, vol. 23(1), pages 336-350.
    11. Woodruff, Catherine S & Senchack, A J, Jr, 1988. " Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings," Journal of Finance, American Finance Association, vol. 43(2), pages 467-491, June.
    12. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March.
    13. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    14. Gannon, G.L., 1994. "Simultaneous Volatility Effects in Index Futures," Papers 94-1, Melbourne - Centre in Finance.
    15. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    16. 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.
    17. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    18. 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.
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    Cited by:

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    2. Tarek Ibrahim Eldomiaty & Marwa Anwar & Nebal Magdy & Mohamed Nabil Hakam, 2020. "Robust examination of political structural breaks and abnormal stock returns in Egypt," Future Business Journal, Springer, vol. 6(1), pages 1-9, December.
    3. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.

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