TY  - JOUR
AU  - Ito,Takatoshi
AU  - Lin,Wen-Ling
TI  - Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4592
PY  - 1993
Y2  - December 1993
UR  - http://www.nber.org/papers/w4592
L1  - http://www.nber.org/papers/w4592.pdf
N1  - Author contact info:
Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp
M1  - published as Wen-Ling Lin, Takatoshi Ito. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," in Jeffrey A. Frankel, editor, "The Internationalization of Equity Markets " University of Chicago Press (1994)

AB  - 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.
ER  -