Thanks to Jennifer Conrad, Shane Corwin, Louis Ederington (the referee), Bill Lastrapes, Marc Lipson, Stewart Mayhew, and seminar participants at the University of Georgia, the 2000 Econometric Society World Congress meetings, and the 2000 European Finance Association meetings for helpful comments.
MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS
Version of Record online: 25 APR 2005
Journal of Financial Research
Volume 28, Issue 2, pages 235–259, June 2005
How to Cite
Connolly, R. and Stivers, C. (2005), MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS. Journal of Financial Research, 28: 235–259. doi: 10.1111/j.1475-6803.2005.00123.x
- Issue online: 25 APR 2005
- Version of Record online: 25 APR 2005
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