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

Yoshiro Tsutsui () and Kenjiro Hirayama ()

No 03-04-Rev, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

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.

Keywords: international linkage; stock prices; market efficiency; high frequency data (search for similar items in EconPapers)
JEL-codes: F36 G14 G15 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2003-01, Revised 2004-10
New Economics Papers: this item is included in nep-bec and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://www2.econ.osaka-u.ac.jp/library/global/dp/0304R.pdf (application/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:osk:wpaper:0304r

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