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Transmission of Information across International Equity Markets

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  • Jon Wongswan

Abstract

This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information. (JEL E44, G14, G15) Copyright 2006, Oxford University Press.

Suggested Citation

  • Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1157-1189.
    • Handle: RePEc:oup:rfinst:v:19:y:2006:i:4:p:1157-1189
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    File URL: http://hdl.handle.net/10.1093/rfs/hhj033
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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