Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

35 Pages Posted: 12 Jun 2000 Last revised: 22 Jul 2010

See all articles by Takatoshi Ito

Takatoshi Ito

University of Tokyo - Faculty of Economics; National Bureau of Economic Research (NBER); Ministry of Finance, Tokyo

Wenling Lin

Office of Comptroller of Currency

Date Written: December 1993

Abstract

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.

Suggested Citation

Ito, Takatoshi and Lin, Wenling, Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets (December 1993). NBER Working Paper No. w4592, Available at SSRN: https://ssrn.com/abstract=232058

Takatoshi Ito (Contact Author)

University of Tokyo - Faculty of Economics ( email )

7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan

National Bureau of Economic Research (NBER) ( email )

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Ministry of Finance, Tokyo ( email )

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100-8940 Tokyo
Japan
+81-3-3581-4720 (Phone)
+81-3-5251-2144 (Fax)

Wenling Lin

Office of Comptroller of Currency ( email )

400 7th Street SW
Washington, DC 20219
United States

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