The effect of macroeconomic information announcement on stock market return and volatility
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Publication:3537334
zbMATH Open1164.91396MaRDI QIDQ3537334FDOQ3537334
Authors: Yumei Feng, Heping Dong 
Publication date: 24 November 2008
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stock market volatilitystock market returnAR (1)-EGARCH (1,1)-\(M\) modelmacroeconomic information announcement
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- An empirical analysis about relationship between stock market and macroeconomy in China
- Interactive relationship between macro-policy and efficiency of securities market in China
- Stochastic approach to heterogeneity in short-time announcement effects on the Chilean stock market indexes within 2016-2019
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