How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: 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 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.
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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 08-32.
Length: 49 pages
Date of creation: Sep 2008
Date of revision:
international linkage; stock prices; market efficiency; high frequency data;
Other versions of this item:
- Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High-Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201.
- 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
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