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Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York

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  • Milunovich, George
  • Thorp, Susan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 17 (2007)
Issue (Month): 4 (October)
Pages: 275-289

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Handle: RePEc:eee:mulfin:v:17:y:2007:i:4:p:275-289

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Web page: http://www.elsevier.com/locate/mulfin

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References

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  1. Becker, Kent G & Finnerty, Joseph E & Tucker, Alan L, 1992. "The Intraday Interdependence Structure between U.S. and Japanese Equity Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 15(1), pages 27-37, Spring.
  2. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  3. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 113-136, May.
  4. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  5. Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 598-613, June.
  6. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  7. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  8. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
  9. Kiyoshi Kato, 1990. "Weekly Patterns in Japanese Stock Returns," Management Science, INFORMS, vol. 36(9), pages 1031-1043, September.
  10. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  11. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
  12. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
  13. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
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Cited by:
  1. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.
  2. 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.
  3. Ekin Tokat & Hakkı Arda Tokat, 2010. "Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(4), pages 92-104, January.

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