This study investigates the market interdependence among the Dow Jones (USA), Nikkei225 (Japan), and KOSPI200 (Korea) index futures markets from May 2002 to July 2009, which is divided into three distinct periods: the normal growth, accelerated growth and declining growth (crisis) periods. We...

Most previous studies examine the relationship between stock market returns and volatility using low frequency data such as daily or weekly basis. In this study, using the high frequency intraday data, we expand the scope of prior studies to investigate the relationship of short-term changes of...