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Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

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Author Info
Takatoshi Ito
Wen-Ling Lin

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Abstract

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 4592.

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Date of creation: Dec 1993
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Handle: RePEc:nbr:nberwo:4592

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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

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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  19. Dravid, A. & Richardson, M. & Craig, A., 1993. "Explaining Overnight Variation in Japanese Stock Returns: The Information Content of Derivative Securities," Weiss Center Working Papers 93-5, Wharton School - Weiss Center for International Financial Research.
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  2. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Sandeep Patel & Asani Sarkar, 1998. "Stock market crises in developed and emerging markets," Research Paper 9809, Federal Reserve Bank of New York. [Downloadable!]
  4. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Working Papers 4590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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