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| Author: | Albuquerque, R. Vega, C. |
| Title: | Economic news and international stock market co-movement |
| Journal: | Economic Journal
2009 : VOL 13:3 p. 401-465 |
| Index terms: | news reporting portugal usa macroeconomics stock markets stock returns |
| Language: | eng |
| Abstract: | This paper is an analysis of 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, USA. Consistent with the theoretical model presented in the paper, it is found that US macroeconomic news and Portuguese earnings news do not affect stock market co-movement, whereas Portuguese macroeconomic news lowers stock market co-movement. It is found that US affects Portuguese stock market returns, though less so when US stock market returns are included in the regression. |
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