RESPONSE OF HOURLY STOCK-PRICES AND TRADING VOLUME TO ECONOMIC-NEWS

被引：62

作者：

JAIN, PC

机构：

来源：

JOURNAL OF BUSINESS | 1988年 / 61卷 / 02期

关键词：

D O I：

10.1086/296429

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：219 / 231

页数：13

相关论文

共 17 条

[1] A NOISY RATIONAL-EXPECTATIONS EQUILIBRIUM FOR MULTI-ASSET SECURITIES MARKETS [J].

ADMATI, AR .

ECONOMETRICA, 1985, 53 (03) :629-657

[2] INFORMATION AGGREGATION IN A NOISY RATIONAL-EXPECTATIONS ECONOMY [J].

DIAMOND, DW ;

VERRECCHIA, RE .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (03) :221-235

[3] RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].

DIMSON, E .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226

[4] ASSET RETURNS AND INFLATION [J].

FAMA, EF ;

SCHWERT, GW .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (02) :115-146

[5] STOCK RETURNS AND THE WEEKEND EFFECT [J].

FRENCH, KR .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :55-69

[6] DAY OF THE WEEK EFFECTS AND ASSET RETURNS [J].

GIBBONS, MR ;

HESS, P .

JOURNAL OF BUSINESS, 1981, 54 (04) :579-596

[7] A TRANSACTION DATA STUDY OF WEEKLY AND INTRADAILY PATTERNS IN STOCK RETURNS [J].

HARRIS, L .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 16 (01) :99-117

[8] ON THE AGGREGATION OF INFORMATION IN COMPETITIVE MARKETS [J].

HELLWIG, MF .

JOURNAL OF ECONOMIC THEORY, 1980, 22 (03) :477-498

[9]

JAIN P, 1986, DEPENDENCE HOURLY PR

[10] A THEORY OF TRADING VOLUME [J].

KARPOFF, JM .

JOURNAL OF FINANCE, 1986, 41 (05) :1069-1087