Economic News and International Stock Market Co-movement

被引：33

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 50 条

[1] European Economic Integration and Stock Market Co-Movement with Germany
Johnson, Robert
Soenen, Luc
[J]. MULTINATIONAL BUSINESS REVIEW, 2009, 17 (03) : 205 - +
[2] Stock Market Co-Movement in the Caribbean
Harrison, B.
Moore, W.
[J]. ECONOMIC ISSUES, 2010, 15 : 1 - 15
[3] International Stock Price Co-movement
Hirayama, Kenjiro
Tsutsui, Yoshiro
[J]. ASIAN ECONOMIC PAPERS, 2013, 12 (03) : 157 - 191
[4] News, search and stock co-movement: Investigating information diffusion in the financial market
Chen, Kun
Luo, Peng
Liu, Libo
Zhang, Weiguo
[J]. ELECTRONIC COMMERCE RESEARCH AND APPLICATIONS, 2018, 28 : 159 - 171
[5] Data driven modeling of co-movement among international stock market
Tseng, Chiu-Che
[J]. JOURNAL OF MODELLING IN MANAGEMENT, 2007, 2 (03) : 195 - 207
[6] Mining the co-movement in the Taiwan stock funds market
Liao, Shu-hsien
Chu, Pei-hui
Teng, Tzu-kang
[J]. EXPERT SYSTEMS WITH APPLICATIONS, 2011, 38 (05) : 5276 - 5288
[7] Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration
Emin, Dogus
[J]. FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2016, 66 (02): : 96 - 112
[8] Liberalisation and stock market co-movement between emerging economies
Beine, Michel
Candelon, Bertrand
[J]. QUANTITATIVE FINANCE, 2011, 11 (02) : 299 - 312
[9] Co-movement of the Finnish and international stock markets: a wavelet analysis
Graham, Michael
Nikkinen, Jussi
[J]. EUROPEAN JOURNAL OF FINANCE, 2011, 17 (5-6): : 409 - 425
[10] Summary of General Discussion on "International Stock Price Co-movement"
Swenson, Deborah
Oxley, Les
Yang, Doo Yong
Abe, Shigeyuki
Woo, Wing Thye
Yoshino, Naoyuki
[J]. ASIAN ECONOMIC PAPERS, 2013, 12 (03) : 194 - 195

← 1 2 3 4 5 →