Homogeneous Beliefs, Trading Volume, and Co-Movements of Stock Market Returns and Volatility: A Study Of The Effects Of Shocks In The U.S., London, And German Markets On Russian Stocks
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This paper develops an empirical model that tests the effect of information arrival in one market on the return and volatility of stocks in another market. Tests using this empirical model on the effect of the U.S, London, and German market information arrivals on Russian stocks indicate that the returns of Russian domestic market. On the other hand the volatilities of Russian stocks are affected predominantly by the shock in the U.S and Russian domestic market
Abstract
This paper develops an empirical model that tests the effect of information arrival in one market on the return and volatility of stocks in another market. Tests using this empirical model on the effect of the U.S, London, and German market information arrivals on Russian stocks indicate that the returns of Russian domestic market. On the other hand the volatilities of Russian stocks are affected predominantly by the shock in the U.S and Russian domestic market
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