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Bus., 53, 67, 10.1086\u002F296072\nGriffin, 2007, Do investors trade more when stocks have performed well? Evidence from 46 countries, Rev. Financ. Stud., 20, 905, 10.1093\u002Frfs\u002Fhhl019\nHansen, 2017, Regression kink with an unknown threshold, J. Bus. Econ. Stat., 35, 228, 10.1080\u002F07350015.2015.1073595\nHe, 2013, Intermediary asset pricing, Am. Econ. Rev., 102, 732, 10.1257\u002Faer.103.2.732\nKoop, 1996, Impulse response analysis in nonlinear multivariate models, J. Econ., 74, 119, 10.1016\u002F0304-4076(95)01753-4\nPesaran, 1998, Generalized impulse response analysis in linear multivariate models, Econ. Lett., 58, 17, 10.1016\u002FS0165-1765(97)00214-0\nQiao, 2008, Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market, J. Int. Financ. Mark. Inst. 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On stock market return co-movements: Macroeconomic news, dispersion of belief, and contagion. Working paper.\nEderington, 1993, How markets process information: News releases and volatility, Journal of Finance, 48, 1161, 10.2307\u002F2329034\nEderington, 1994, The response of the dollar\u002Fyen exchange rate to economic news announcements, Asian-Pacific Finance Markets, 1, 111\nEderington, 1995, The short-run dynamics of the price adjustment to new information, Journal of Financial and Quantitative Analysis, 30, 117, 10.2307\u002F2331256\nEderington, 1996, The creation and resolution of market uncertainty: The impact of information releases on implied volatility, Journal of Financial and Quantitative Analysis, 31, 513, 10.2307\u002F2331358\nEngle, 1993, Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749, 10.2307\u002F2329066\nFleming, M., Remolona, E., 1997. Price formation and liquidity in the U.S. treasuries market: Evidence from intraday patterns around announcements. 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