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

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.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 25 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.