Economic News and International Stock Market Co-movement

被引：37

作者：

Albuquerque, Rui ^{[1
]}

Vega, Clara ^{[1
]}

机构：

[1] Boston Univ, Sch Management, Boston, MA 02215 USA

来源：

REVIEW OF FINANCE | 2009年 / 13卷 / 03期

关键词：

F3; G12; G14; G15; TIME PRICE DISCOVERY; INTEREST-RATES; ORDER FLOW; VOLUME; US; ANNOUNCEMENTS; TRANSMISSION; INFORMATION; VOLATILITY; BOND;

D O I：

10.1093/rof/rfn020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the effects that real-time domestic and foreign news about fundamentals have on the co-movement between stock returns of a small, open economy, Portugal, and a large economy, the United States. Consistent with our theoretical model, we find that US macroeconomic news and Portuguese earnings news do not affect stock market co-movement, whereas Portuguese macroeconomic news lowers stock market co-movement. We find that US news affects Portuguese stock market returns, though less so when US stock market returns are included in the regression. We provide evidence, contrary to common wisdom, that this last result does not derive from contagion.

引用

页码：401 / 465

页数：65

共 58 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].