Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
Takatoshi Ito () and
No 4592, NBER Working Papers from National Bureau of Economic Research, Inc
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Published as The Internationalization of Equity Markets, Jeffrey A. Frankel, ed., pp. 309-333, (Chicago: University of Chicago Press: 1994).
Published as Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets , Wen-Ling Lin, Takatoshi Ito. in The Internationalization of Equity Markets , Frankel. 1994
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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:4592
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