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

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on...

Persistent link: https://www.econbiz.de/10012474348

High-Frequency, Algorithmic Spillovers between NASDAQ and Forex

Ito, Takatoshi - 2015

We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...

Persistent link: https://www.econbiz.de/10013023679

High-frequency, Algorithmic Spillovers Between NASDAQ and Forex

Ito, Takatoshi - 2015

Persistent link: https://www.econbiz.de/10012457544

The causes of Japan's financial crisis

Patrick, Hugh; Ito, Takatoshi - 1999

Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest … country. Today presents a completely different picture. Japan’s financial system is weak and in disarray. Banks no longer rank … among the world’s top ten, and their credit ratings have declined dramatically. Two of Japan’s top 21 banks have already …

Persistent link: https://www.econbiz.de/10009451446