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

Yoshiro Tsutsui () and Kenjiro Hirayama ()

ISER Discussion Paper from Institute of Social and Economic Research, The University of Osaka

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.

Date: 2004-10
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https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2004/DP0620.pdf

Related works:
Working Paper: Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data (2004)
Working Paper: Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:dpr:wpaper:0620

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