Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data
AbstractThis 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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Bibliographic InfoPaper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 03-04-Rev.
Length: 64 pages
Date of creation: Jan 2003
Date of revision: Oct 2004
international linkage; stock prices; market efficiency; high frequency data;
Other versions of this item:
- Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper 0620, Institute of Social and Economic Research, Osaka University.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-19 (All new papers)
- NEP-BEC-2005-06-19 (Business Economics)
- NEP-FIN-2005-06-19 (Finance)
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