Economic News and International Stock Market Co-movement
We analyze 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, the United States. Consistent with our theoretical model, we find that US macroeconomic news and Portuguese earnings news do not affect stock market co-movement, whereas Portuguese macroeconomic news lowers stock market co-movement. We find that US news affects Portuguese stock market returns, though less so when US stock market returns are included in the regression. We provide evidence, contrary to common wisdom, that this last result does not derive from contagion. Copyright 2009, Oxford University Press.
Year of publication: |
2009
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Authors: | Albuquerque, Rui ; Vega, Clara |
Published in: |
Review of Finance. - European Finance Association - EFA, ISSN 1572-3097. - Vol. 13.2009, 3, p. 401-465
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Publisher: |
European Finance Association - EFA |
Saved in:
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