Correlations in Price Changes and Volatility across International Stock Markets
Center on Japanese Economy and Business; 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)
University of Michigan at Ann Arbor
Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990
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
Date posted: February 28, 2006
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