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America and the Swiss Stock Exchange: An Intraday Analysis

  • Claudio Loderer
  • Marc-André Mittermayer
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    The paper examines whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with anticipation for the Wall Street opening. And they appear to overreact to what happens on Wall Street, although this overreaction is too weak to imply a profitable trading strategy.

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    File URL: http://www.sjes.ch/papers/2006-I-3.pdf
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    Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

    Volume (Year): 142 (2006)
    Issue (Month): I (March)
    Pages: 79-114

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    Handle: RePEc:ses:arsjes:2006-i-3
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