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

Patricia Fraser and David Power

Applied Financial Economics, 1997, vol. 7, issue 3, 241-253

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.

Date: 1997
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DOI: 10.1080/096031097333592

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