학술저널
HOMOGENEOUS BELIEFS, TRADING VOLUME, AND CO-MOVEMENTS OF STOCK MARKET RETURNS AND VOLATILITY: A STUDY OF THE EFFECTS OF SHOCKS IN THE U.S., LONDON, AND GERMAN MARKETS ON RUSSIAN STOCKS
- People & Global Business Association
- Global Business and Finance Review
- Vol.13 No.1
-
2008.0623 - 34 (12 pages)
- 5
This paper develops an empirical model that test the effect of information arrival in one market on the return and volatility of stocks in another market. Tests using this empirical model on the effect of the U.S. London, and German market information arrivals on Russian stocks indicate that the returns of Russian stocks are affected by both positive and negative information arrivals in the all three markets and the Russian domestic market. On the other hand the volatilities of Russian stocks are affected predominantly by the shock in the U.S. and Russian domestic markets.
Abstract
INTRODUCTION
METHODOLOGY
DATA
RESULTS
CONCLUSIONS
REFERENCES
BIOGRAPHY
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