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Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

Author

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  • Yoshiro Tsutsui
  • Kenjiro Hirayama

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 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.

Suggested Citation

  • 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, The University of Osaka.
    • Handle: RePEc:dpr:wpaper:0620
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    File URL: https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2004/DP0620.pdf
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    Cited by:

    1. 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.
    2. Samuel Tabot Enow, 2021. "The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 235-244.
    3. Yoshiro Tsutsui & Kenjiro Hirayama & Takahiro Tanaka & Nobutaka Uesugi, 2007. "Special Quotes Invoke Autocorrelation in Japanese Stock Prices," Asian Economic Journal, East Asian Economic Association, vol. 21(4), pages 369-386, December.

    More about this item

    JEL classification:

    • 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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