Economic news and international stock market co-movement

Review of Finance

Volumn 13, Issue 3, 2009, Pages 401-465

  Albuquerque, Rui ^a   Vega, Clara ^b  

^a BOSTON UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 68449088684     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1093/rof/rfn020     Document Type: Article

References (58)

1. Admati, A. R. and Pfleiderer, P. (1988) A Theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
2. Albuquerque, R., Bauer, G., and Schneider, M. (2007) Global private information in international equity markets, unpublished working paper, Boston University.
3. Albuquerque, R., de Francisco, E., and Marques, L. (2008) Marketwide private information in stocks: Forecasting currency returns, Journal of Finance, forthcoming.
4. Ammer, J. and Mei, J. (1996) Measuring international economic linkages with stock market data, Journal of Finance 51, 1743-1763.
5. Andersen, T. G. and Bollerslev, T. (1998) Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance 53, 219-265.
6. Andersen, T., Bollerslev, T., Diebold, F., and Vega, C. (2003) Micro effects of macro announcements: Real-time price discovery in foreign exchange, American Economic Review 93, 38-62.
7. Andersen, T., Bollerslev, T., Diebold, F., and Vega, C. (2007) Real-time price discovery in global stock, bond, and foreign exchange markets, Journal of International Economics 73, 251-277.
8. Antão, P., Antunes, A., and Martins, N. (2004) Liquidity and order flow in the Portuguese stock market, Banco de Portugal Economic Bulletin 10, 115-126.
9. Bae, K. H., Karolyi, G. A., and Stulz, R. M. (2003) A new approach to measuring financial contagion, Review of Financial Studies 16, 717-763.
10. Balduzzi, P., Elton, E., and Green, C. (2001) Economic news and bond prices: Evidence from the US Treasury market, Journal of Financial and Quantitative Analysis 36, 523-543.
11. Barclay, M. J., Litzenberger, R. H., and Warner, J. B. (1990) Private information, trading volume, and stock-return variances, Review of Financial Studies 3, 233-253.
12. Bauer, G. and Vega, C. (2007) The monetary origins of asymmetric information in international equity markets, Journal of International Money and Finance, forthcoming.
13. Becker, K. G., Finnerty, J. E. and Friedman, J. (1995) Economic news and equity market linkages between the US and UK, Journal of Banking and Finance 19, 1191-1210.
14. Bekaert, G., Harvey, C. R. and Ng, A. (2005) Market integration and contagion, Journal of Business 78, 39-69.
15. Bernanke, B. S. and Kuttner, K. N. (2005) What explains the stock market's reaction to Federal Reserve policy? Journal of Finance 60, 1221-1257.
16. Boyd, J. H., Jagannathan, R., and Hu, J. (2001) The stock market's reaction to unemployment news: Why bad news is usually good for stocks, Journal of Finance 60, 649-672.
17. Brandt, M. and Kavajecz, K. (2004) Price discovery in the US Treasury market: The impact of order flow and liquidity on the yield curve, Journal of Finance 59, 2623-2654.
18. Brennan, M. J. and Cao, H. H. (1997) International portfolio investment flows, Journal of Finance 52, 1851-1880.
19. Brooks, R. M., Patel, A., and Su, T. (2003) How the equity market responds to unanticipated events, Journal of Business 76, 109-133.
20. Cao, H. Henry, Evans, Martin D. D., and Lyons, Richard K. (2006) Inventory information, Journal of Business 79, 325-364.
21. Claessens, S., Dornbusch, R., and Park, Y. C. (2001) Contagion: Why crises spread and how this can be stopped, in S. Claessens and K. J. Forbes (ed.), International Financial Contagion. Kluwer Academic Publishers.
22. Chan, K. and Hameed, A. (2006) Stock price synchronicity and analyst coverage in emerging markets, Journal of Financial Economics 80, 115-147.
23. Cochrane, John H. and Piazzesi, M. (2002) The Fed and interest rates: A high-frequency identification, American Economic Review Papers and Proceedings 92, 90-95.
24. Connolly, R. and Wang, F. A. (2000) On stock market return co-movements: Macroeconomic news, dispersion of beliefs, and contagion, unpublished working paper, University of North Carolina at Chapel Hill.
25. Connolly, R. and Wang, F. A. (2003) International equity market co-movements: economic fundamentals or contagion? Pacific-Basin Finance Journal 11, 23-43.
26. Dumas, B., Harvey, C. R., and Ruiz, P. (2003) Are correlations of stock returns justified by subsequent changes in national outputs? Journal of International Money and Finance 22, 777-811.
27. Ehrmann,M.and Fratzscher,M.(2004)Taking stock: Monetary policytransmissiontoequity markets, Journal of Money, Credit and Banking 36, 719-737.
28. Ehrmann, M. and Fratzscher, M. (2003) Interdependence between the euro area and the US: What role for EMU? European Central Bank Working Paper No. 200.
29. Ellis, K., Michaely, R., and O'Hara, M. (2000) The accuracy of trade classiffication rules: Evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35, 529-551.
30. Evans,M.and Lyons, R. (2002) Order flow and exchange rate dynamics, Journal of Political Economy 110, 170-180.
31. Evans, M. and Lyons, R. (2004) Exchange rate fundamentals and order flow, Working Paper, Haas School of Business, University of California at Berkeley.
32. Ferson, Wayne and Harvey, Campbell R. (1993) The risk and predictability of international equity returns, Review of Financial Studies 6, 527-566.
33. Fleming, M. and Remolona, E. (1997) What moves the bond market? Economic Policy Review, Federal Reserve Bank of New York, 31-50.
34. Gande, A. and Parsley, D. C. (2005) News spillovers in the sovereign debt market, Journal of Financial Economics 75, 691-734.
35. Garman, M. B. (1976) Market microstructure, Journal of Financial Economics 3, 257-275.
36. Green, C. (2004) Economic news and the impact of trading on bond prices, Journal of Finance 59, 1201-1233.
37. Grossman, Sanford J. and Stiglitz, Joseph E. (1980) On the impossibility of informationally efficient markets, The American Economic Review 70, 393-408.
38. Harvey, Campbell R. (1991) The world price of covariance risk, Journal of Finance 46, 111-158.
39. Hasbrouck, J. (1991) Measuring the information content of stock trades, Journal of Finance 46, 179-207.
40. Hasbrouck, J. (2007) Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, Oxford University Press.
41. Ji, S. (2005) Does investor base influence stock co-movement? unpublished working paper, Baruch College.
42. Jones, C. M., Kaul, G. and Lipson, M. L. (1994) Transactions, volume, and volatility, Review of Financial Studies 7, 631-351.
43. Kallberg, J. and Pasquariello, P. (2006) Time-series and cross-sectional excess comovement in stock indexes, unpublished working paper, New York University.
44. Karolyi, G. A. and Stulz, R. M. (1996) Why do Markets move together? An investigation of US-Japan stock return co-movements, The Journal of Finance 51, 951-985.
45. King, M. and Wadhwani, S. (1990) Transmission of volatility between stock markets, Review of Financial Studies 3, 5-33.
46. King, M., Sentana, E. and Wadhwani, S. (1994) Volatility and the link between national stock markets, Econometrica 62, 901-933.
47. Kim, O. and Verrecchia, R. (1994) Market liquidity and volume around earnings announcements, Journal of Accounting and Economics 17, 41-67.
48. Kodres, L. E. and Pritsker, M. (2002) A rational expectations model of financial contagion, Journal of Finance 57, 769-799.
49. Krinsky, I. and Lee, J. (1996) Earnings announcements and the components of the bid-ask spread, Journal of Finance 51, 1523-1535.
50. Kuttner, Kenneth N. (2001) Monetary policy surprises and interest rates: evidence from the fed funds futures market, Journal of Monetary Economics 47, 523-544.
51. Kyle, A. S. (1985) Continuous trading and insider trading, Econometrica 53, 1315-1335.
52. Lee, C. M. and Radhakrishna, B. (2000) Inferring investor behavior: evidence from TORQ data, Journal of Financial Markets 3, 83-111.
53. Lee, C. M. and Ready, M. (1991) Inferring trade direction from intraday data, The Journal of Finance 46, 733-746.
54. Odders-White, E. (2000) On the occurrence and consequences of inaccurate trade classiffication, Journal of Financial Markets 3, 259-286.
55. Pasquariello, P. and Vega, C. (2007) Informed and strategic order flow in the bond markets, Review of Financial Studies 20, 1975-2019.
56. Poterba, James (1990) Transmission of volatility between stock markets: Discussion, Review of Financial Studies 3, 34-35.
57. Van Nieuwerburgh, S. and Veldkamp, L. (2006) Information immobility and the home bias puzzle, Journal of Finance, forthcoming.
58. Wongswan, J. (2006) Transmission of information across international equity markets, Review of Financial Studies 19, 1157-1189.