Stock Market Integration and the Speed of Information Transmission

Alexandr Èerný () and Michal Koblas ()
Additional contact information
Alexandr Èerný: CERGE-EI, Prague, http://www.cerge.cuni.cz/
Michal Koblas: European Central Bank, http://www.ecb.int/home/html/index.en.html
Authors registered in the RePEc Author Service: Alexandr Černý

Czech Journal of Economics and Finance (Finance a uver), 2008, vol. 58, issue 01-02, 2-20

Abstract: Using a unique dataset covering two years of high frequency data on the indices from markets in the U. S., London, Frankfurt, Paris, Warsaw, Prague, and Budapest, we perform cointegration and Granger causality tests with data of different frequencies (from 5 minutes to 1 day). The aim is to describe the time structure in which markets react to the information revealed in prices on other markets. The results suggest that the speed of information transmission is very fast. In all cases the strongest reaction occurs within 1 hour. Therefore, the use of daily data may be misleading when analyzing the issues of stock market integration and information transmission between markets.

Keywords: stock market integration; market comovement; intra-day data; speed of information transmission; cointegration; Granger causality (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Stock market integration and the speed of information transmission (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:58:y:2008:i:1-2:p:2-20

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