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Marshall, Pablo; Walker, Eduardo. |
This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does. |
Tipo: Journal Article |
Palavras-chave: Efficient market hypothesis; Cross-serial autocorrelation; Emerging markets; Financial Economics; G12; G15. |
Ano: 2002 |
URL: http://purl.umn.edu/44293 |
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Oyewumi, Olubukola Ayodeju. |
The global economy is growing increasingly more integrated. The dawn of the 21st century was marked with cutting edge technologies creating the platform for greater connectivity and competition among global markets. The evolving economic paradigm is re-defining the way products are moving across markets, regions and continents. The combined effect of technological advances, global political economy and seasonal weather variability has called for dynamism in the way businesses are run. The potential benefit of this development is that it could culminate into increased productivity through the involvement of more people in economic activities across the globe, and the development of new efficiencies and new technologies to better manage our environment and... |
Tipo: Journal Article |
Palavras-chave: Global economy; Emerging markets; Competitiveness; Trade facilitation.; International Relations/Trade. |
Ano: 2007 |
URL: http://purl.umn.edu/8184 |
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