Correlations in Price Changes and Volatility Across International Stock Markets
Title | Correlations in Price Changes and Volatility Across International Stock Markets PDF eBook |
Author | Yasushi Hamao |
Publisher | |
Pages | 27 |
Release | 2006 |
Genre | |
ISBN |
The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.
Correlations in Price Changes and Volatility Across International Stock Markets
Title | Correlations in Price Changes and Volatility Across International Stock Markets PDF eBook |
Author | Yasushi Hamao |
Publisher | |
Pages | 46 |
Release | 1989 |
Genre | Stocks |
ISBN |
Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets
Title | Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets PDF eBook |
Author | Takatoshi Itō |
Publisher | |
Pages | 52 |
Release | 1993 |
Genre | Rate of return |
ISBN |
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.
Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets'
Title | Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets' PDF eBook |
Author | Allan William Kleidon |
Publisher | |
Pages | 18 |
Release | 1994 |
Genre | Rate of return |
ISBN |
Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
Title | Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets PDF eBook |
Author | Takatoshi Ito |
Publisher | |
Pages | 35 |
Release | 2010 |
Genre | |
ISBN |
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.
The link between volatility and correlation in international stock markets
Title | The link between volatility and correlation in international stock markets PDF eBook |
Author | Roberto Moro Visconti |
Publisher | |
Pages | 47 |
Release | 1994 |
Genre | |
ISBN |
International Market Correlation and Volatility
Title | International Market Correlation and Volatility PDF eBook |
Author | Bruno H. Solnik |
Publisher | |
Pages | 12 |
Release | 1996 |
Genre | |
ISBN | 9782854185713 |