Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Takatoshi Ito, The Internationalization of Equity Markets (University of Chicago Press, 1994), chap. 7, https://www.nber.org/books-and-chapters/internationalization-equity-markets/price-volatility-and-volume-spillovers-between-tokyo-and-new-york-stock-markets.