This paper examines hourly stock returns and trading volume response to announcements about the money supply, consumer price index (CPI), producer price index, industrial production, and the unemployment rate. The empirical results indicate that surprises in announcements about money supply and CPI are significantly associated with stock price changes. The announcements of the other three variables do not affect stock prices significantly. Trading volume is not affected by any of the five economic variable announcements, indicating that market participants do not differ substanti ally in the interpretations of the effects of announcements. The spee d of adjustment analysis indicates that the effect of information on stock prices is reflected in a short period of one hour or so.
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Prem C. Jain (1988) studied this question.
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