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The Intraday Interdependence Structure between U.S. and Japanese Equity Markets

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  • Becker, Kent G
  • Finnerty, Joseph E
  • Tucker, Alan L
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    Abstract

    Contrary to the efficient market hypothesis, previous research documents a significant correlation between lagged U.S. close-to-close stock market returns and current open-to-close Japanese equity market returns. The authors find that the significant correlation is limited to the first hour of Japanese trading, with subsequent hourly returns independent of lagged U.S. returns. This evidence suggests that the documented significant correlation is attributable to a sticky Japanese opening value associated with the use of nonsynchronous index data.

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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 15 (1992)
    Issue (Month): 1 (Spring)
    Pages: 27-37

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    Handle: RePEc:bla:jfnres:v:15:y:1992:i:1:p:27-37

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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    Web page: http://www.southwesternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0270-2592

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    Cited by:
    1. Kofman, Paul & Martens, Martin, 1997. "Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 387-414, June.
    2. Ayadi, O. Felix & Dufrene, Uric B. & Chatterjee, Amitava, 1998. "Investment implications of the korean financial market reform," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 83-94.
    3. Elyasiani, Elyas & Kocagil, Ahmet E., 2001. "Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1161-1186, June.
    4. Athanasios Koulakiotis & Katerina Lyroudi & Nikos Thomaidis & Nicholas Papasyriopoulos, 2010. "The impact of cross-listings on the UK and the German stock markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(1), pages 4-18, March.
    5. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
    6. Craig, Alastair & Dravid, Ajay & Richardson, Matthew, 1995. "Market efficiency around the clock Some supporting evidence using foreign-based derivatives," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 161-180.
    7. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
    8. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October.
    9. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
    10. Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011. "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 37-44, March.
    11. Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
    12. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 23-43, January.

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