The effect of after-hours announcements on the intraday U-shaped volume pattern

Article Abstract:

The intraday U-shaped pattern in trading volume of common stocks is largely attributed to announcements made after the closing of the stock market. This makes significant the effects of public announcements in explaining the U-shaped pattern. A comparison of a volume of a sample of stocks with after-hours announcements with control portfolios of stocks without any announcements revealed increased levels of trading before and after such announcements, causing a significant portion of the U-shaped pattern in intraday volume.

Securities & Commodities Exchanges, Securities and Commodity Exchanges, Security and commodity exchanges, Evaluation, Stocks, Influence, Disclosure (Securities law)

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A causality test of the October crash of 1987: evidence from Asian stock markets

Article Abstract:

The existence of a causal relationship between stock markets in Hong Kong, Japan and Singapore is investigated using state space modeling. Results show that the Japanese stock market influenced the performance of other Asian stock markets during the international stock market crash of Oct. 1987. It is also shown that the relationships between Asian stock markets increased following the crash.

Asia, Stock Market Crash, 1987

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The UK stock market and economic factors: a new approach

Article Abstract:

A study was conducted on the relationship between security returns and economic factors in the UK using canonical correlation methods. Results showed that many systematic economic components significantly affect security returns, However, market return was identified as the main factor and was found to have a major effect on the Arbitrage Pricing Theory for the security market of the UK.

United Kingdom, Usage, Securities, Canonical correlation (Statistics), Arbitrage

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