Impact of Information Flow on Stock Returns and Short Term Volatality- Empirical Evidence from Kuwait Stock Exchange

Abstract

This study aims at investiga ting the existence of a feedback effect and the information flow between returns of large and small portfolios of stocks traded in Kuwait Stock Exchan ge (KSE). The results support the notion that the continuous flow of information affects tock returns all times and influences the short term volatility of these returns. This effect, however, varies with the size of the portfolio.