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Economic news and equity market linkages between the U.S. and U.K

  • Becker, Kent G.
  • Finnerty, Joseph E.
  • Friedman, Joseph
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 7 (October)
    Pages: 1191-1210

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:7:p:1191-1210
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    1. 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 219-31, April.
    2. 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 1161-91, September.
    3. Becker, Kent G & Finnerty, Joseph E & Tucker, Alan L, 1992. "The Intraday Interdependence Structure between U.S. and Japanese Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(1), pages 27-37, Spring.
    4. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    5. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
    6. Chung, Y Peter, 1991. " A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability," Journal of Finance, American Finance Association, vol. 46(5), pages 1791-809, December.
    7. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    8. Kiyoshi Kato, 1990. "Weekly Patterns in Japanese Stock Returns," Management Science, INFORMS, vol. 36(9), pages 1031-1043, September.
    9. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
    10. Goodhart, Charles A E & Smith, Richard G, 1985. "The Impact of News on Financial Markets in the United Kingdom: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 507-11, November.
    11. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-69.
    12. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc.
    13. 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.
    14. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    15. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-53.
    16. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-84.
    17. Hardouvelis, Gikas A., 1988. "Economic news, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 23-35, March.
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