Huang, Bwo-Nung; Yang, Chin Wei - In: International Journal of Finance & Economics 7 (2002) 1, pp. 37-50
This paper studies the transmission mechanism of G-5 exchange rate changes within each market and across the three major markets: London, New York and Tokyo. It is found that the volatility in both the London and New York markets leads that of Tokyo. In addition, the New York market slightly...
