Lin, Wen-Ling; Engle, Robert F.; Ito, Takatoshi - Institute of Economic Research, Hitotsubashi University - 1992
This paper investigates empirically how returns and volatilities correlated between Tokyo and New York stock indices (Nikkei 225 and s&p500). First, intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight...
