Author: Takatoshi ItoPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Price Volatility and Volumen Spillovers Between the Tokyo and New York Stock Markets
Author: Takatoshi ItoPrice Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets
Author: Takatoshi ItōPublisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 52
Book Description
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.
Price volatility and volume spillovers between the Tokyo and New York stock markets
Author: Takatoshi ItoComment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets'
Author: Allan William KleidonPublisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 18
Book Description
Correlations in Price Changes and Volatility Across International Stock Markets
Author: Yasushi HamaoPublisher:
ISBN:
Category :
Languages : en
Pages : 27
Book Description
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.
Price Vbolatility and Volume Spilloversbetween the Tokyo and New York Stock Markets
Author: Takaoshi ItoInternational Stock Price Spillovers and Market Liberalization
Author: Sang W. KimPublisher:
ISBN:
Category : International economic relations
Languages : en
Pages : 38
Book Description
The Internationalization of Equity Markets
Author: Jeffrey A. FrankelPublisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Correlations in Price Changes and Volatility Across International Stock Markets
Author: Yasushi HamaoPrice and Volatility Spillovers Between the Greater China Markets and the Developed Markets of the US and Japan
Author: Ping WangPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.