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Abstract

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the efficiency has improved and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.

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File URL: http://www.iser.osaka-u.ac.jp/library/dp/2004/DP0620.pdf
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Bibliographic Info

Paper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number 0620.

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Date of creation: Oct 2004
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Handle: RePEc:dpr:wpaper:0620

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Find related papers by JEL classification:

• G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
• G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
• F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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