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Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets

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  • Patricia Fraser
  • David Power

Abstract

Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results suggest substantial asymmetries in the dynamics of price changes both within and across markets.

Suggested Citation

  • Patricia Fraser & David Power, 1997. "Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 241-253.
  • Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:241-253
    DOI: 10.1080/096031097333592
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    References listed on IDEAS

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    1. Kim, Suk-Joong, 1995. "Modeling Changes in Daily $A Exchange Rates: An Application of GARCH," Working Papers 217, University of Sydney, School of Economics.
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    Cited by:

    1. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
    2. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    3. Talpsepp, T├Ánn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
    4. Morelli, David, 2002. "The relationship between conditional stock market volatility and conditional macroeconomic volatility: Empirical evidence based on UK data," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 101-110.
    5. Abid Hameed & Hammad Ashraf, 2006. "Stock Market Volatility and Weak-form Efficiency: Evidence from an Emerging Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1029-1040.
    6. Gregory James & Michail Karoglou, 2010. "Financial liberalization and stock market volatility: the case of Indonesia," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 477-486.
    7. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 211-223.

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