The author systematically examines one of the important issues of information — establishing the market price. He introduces the concept of «search» — where a buyer wanting to get a better price, is forced to question sellers. The article deals with various aspects of finding the necessary information.

Economics of Information

It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods traded internationally, but the importance of these" shocks is economically small for these industries as well.

International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns

Dynamic relationship between exchange rate and stock price: Evidence from China

Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries

Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

Dynamic linkages between exchange rates and stock prices: evidence from east asian markets

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1 984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volati lities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross‐country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

https://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/MJ~599~p16sbmuovgtvu4b0hq41tr9aic1.pdf

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets*

https://isiarticles.com/bundles/Article/pre/pdf/12968.pdf

Y. Angela Liu

Papers

Dynamic linkages between exchange rates and stock prices: evidence from east asian markets

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets*

Common stochastic trends and volatility in Asian-Pacific equity markets

On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules