Abstract

http://ssrn.com/abstract=886547
 
 

Citations (207)



 


 



Correlations in Price Changes and Volatility across International Stock Markets


Yasushi Hamao


University of Southern California - Marshall School of Business - Finance and Business Economics Department

Ronald W. Masulis


University of New South Wales - Australian School of Business; European Corporate Governance Institute (ECGI); Financial Research Network (FIRN)

Victor Ng


University of Michigan at Ann Arbor


Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990

Abstract:     
The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.

Number of Pages in PDF File: 27

Keywords: International Stock Markets, Price and Volatility Spillovers, London Stock Exchange, Tokyo Stock Exchange, New York Stock Exchange, GARCH Model

JEL Classification: F30, G15, C32, G14

Accepted Paper Series


Download This Paper

Date posted: February 28, 2006  

Suggested Citation

Hamao, Yasushi and Masulis, Ronald W. and Ng, Victor, Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990. Available at SSRN: http://ssrn.com/abstract=886547

Contact Information

Yasushi Hamao (Contact Author)
University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )
Marshall School of Business
Los Angeles, CA 90089
United States
(213) 740-0822 (Phone)
Ronald W. Masulis
University of New South Wales - Australian School of Business ( email )
Sydney, NSW 2052
Australia
612-9385-5860 (Phone)
612-9385-6347 (Fax)

European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Victor Ng
University of Michigan at Ann Arbor ( email )
Ann Arbor, MI 48109
United States
Feedback to SSRN


Paper statistics
Abstract Views: 3,513
Downloads: 1,145
Download Rank: 8,938
Citations:  207

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.235 seconds