Advanced Search
MyIDEAS: Login to save this paper or follow this series

How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data

Contents:

Author Info

  • Yoshiro Tsutsui

    ()
    (Graduate School of Economics, Osaka University)

  • Kenjiro Hirayama

    ()
    (School of Economics, Kwansei Gakuin University)

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 response time has shortened 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0832.pdf
Download Restriction: no

Bibliographic Info

Paper 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 08-32.

as in new window
Length: 49 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:osk:wpaper:0832

Contact details of provider:
Email:
Web page: http://www.econ.osaka-u.ac.jp/
More information through EDIRC

Related research

Keywords: international linkage; stock prices; market efficiency; high frequency data;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1765-89, December.
  2. Paramsothy Silvapulle & Merran Evans, 1998. "Testing for serial correlation in the presence of dynamic heteroscedasticity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(1), pages 31-55.
  3. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 12(4), pages 463-478, September.
  4. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 181-211.
  5. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
  6. Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, Elsevier, vol. 19(2), pages 285-304, April.
  7. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 73-114, June.
  8. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 33(03), pages 383-408, September.
  9. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 115-158, June.
  10. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(2), pages 107-130, June.
  11. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 95-124, February.
  12. Jeon, Bang Nam & Chiang, Thomas C., 1991. "A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990," Journal of Economics and Business, Elsevier, Elsevier, vol. 43(4), pages 329-338, November.
  13. Shiller, Robert J & Kon-Ya, Fumiko & Tsutsui, Yoshiro, 1996. "Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 156-64, February.
  14. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Appropriate lag specification for daily responses of international stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(14), pages 1017-1025.
  15. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, Elsevier, vol. 42(4), pages 385-390.
  16. Hirayama, Kenjiro & Tsutsui, Yoshiro, 1998. "Threshold effect in international linkage of stock prices," Japan and the World Economy, Elsevier, Elsevier, vol. 10(4), pages 441-453, October.
  17. Tsutsui, Yoshiro, 2003. "Stock prices in Japan rise at night," Japan and the World Economy, Elsevier, Elsevier, vol. 15(4), pages 391-406, December.
  18. 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.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:osk:wpaper:0832. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Atsuko SUZUKI).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.