IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v61y1988i2p219-31.html
   My bibliography  Save this article

Response of Hourly Stock Prices and Trading Volume to Economic News

Author

Listed:
  • Jain, Prem C

Abstract

This paper examines hourly stock returns and trading volume response to announcements about the money supply, consumer price index (CPI), producer price index, industrial production, and the unemployment rate. The empirical results indicate that surprises in announcements about money supply and CPI are significantly associated with stock price changes. The announcements of the other three variables do not affect stock prices significantly. Trading volume is not affected by any of the five economic variable announcements, indicating that market participants do not differ substanti ally in the interpretations of the effects of announcements. The spee d of adjustment analysis indicates that the effect of information on stock prices is reflected in a short period of one hour or so. Copyright 1988 by the University of Chicago.

Suggested Citation

  • 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.
  • Handle: RePEc:ucp:jnlbus:v:61:y:1988:i:2:p:219-31
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/296429
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Barro, Robert J & Sahasakul, Chaipat, 1983. "Measuring the Average Marginal Tax Rate from the Individual Income Tax," The Journal of Business, University of Chicago Press, vol. 56(4), pages 419-452, October.
    2. Roger H. Gordon, 1983. "Social Security And Labor Supply Incentives," Contemporary Economic Policy, Western Economic Association International, vol. 1(3), pages 16-22, April.
    3. Robert J. Barro & Chaipat Sahasakul, 1983. "Measuring the Average Marginal Tax Rates from Social Security and the Individual Income Tax," University of Chicago - George G. Stigler Center for Study of Economy and State 29, Chicago - Center for Study of Economy and State.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:61:y:1988:i:2:p:219-31. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division). General contact details of provider: http://www.journals.uchicago.edu/JB/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.