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...

Using probability distribution techniques, this article explores whether any differences exist between the returns and volatility of yen/dollar spot markets in Tokyo, London and New York. After the intraday returns were fit into probability distributions, New York is found to have the highest...