Nguyen, Tho; Ngo, Chau - In: The Journal of Risk Finance 15 (2014) 2, pp. 149-179
Purpose – This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns. Design/methodology/approach – The authors collect market expectation and actual scheduled announcements data for 14 key US's macroeconomic...