Dimpfl, Thomas - In: The Quarterly Review of Economics and Finance 51 (2011) 4, pp. 389-398
This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the...