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Tekijä:Albuquerque, R.
Vega, C.
Otsikko:Economic news and international stock market co-movement
Lehti:Economic Journal
2009 : VOL 13:3 p. 401-465
Asiasana:news reporting
portugal
usa
macroeconomics
stock markets
stock returns
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 272948
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