Purpose – The purpose of this paper is to investigate the lead-lag relationships between three major stock markets (Tokyo, London, and New York) over the period 1997-2007, using the return-volatility variable. The study aims to use new data to test how one national stock market affects another...

Purpose – The purpose of this paper is to investigate the lead‐lag relationships between three major stock markets (Tokyo, London, and New York) over the period 1997‐2007, using the return‐volatility variable. The study aims to use new data to test how one national stock market affects...