Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data
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.
Year of publication: |
2004-10
|
---|---|
Authors: | Tsutsui, Yoshiro ; Hirayama, Kenjiro |
Institutions: | Institute of Social and Economic Research (ISER), Osaka University |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?
Tsutsui, Yoshiro, (2005)
-
Time Discounting: Declining Impatience and Interval Effect
Kinari, Yusuke, (2007)
-
Koizumi Carried the Day: Did the Japanese Election Results Make People Happy and Unhappy?
Tsutsui, Yoshiro, (2007)
- More ...