HOW FAST DO TOKYO AND NEW YORK STOCK EXCHANGES RESPOND TO EACH OTHER? AN ANALYSIS WITH HIGH‐FREQUENCY DATA

Yoshiro Tsutsui () and Kenjiro Hirayama ()

The Japanese Economic Review, 2010, vol. 61, issue 2, 175-201

Abstract: This paper uses one‐min 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 min, but New York reacts within fourteen min. 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.

Date: 2010
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https://doi.org/10.1111/j.1468-5876.2009.00480.x

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Working Paper: How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data (2008)
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