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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 Vanderbilt University - Owen Graduate School of Management; Vanderbilt University - School of Law 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.
Keywords: International Stock Markets, Price and Volatility Spillovers, London Stock Exchange, Tokyo Stock Exchange, New York Stock Exchange, GARCH Model JEL Classifications: F30, G15, C32, G14 Accepted Paper SeriesDate posted: February 28, 2006 ; Last revised: February 28, 2006Suggested CitationContact Information
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