This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market for the case of Dow Jones Index over the period 1890-2018. Using different statistical tests (both parametrical and non-parametrical) as well as additional...

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...