Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

Posted: 26 Oct 1999

See all articles by Wenling Lin

Wenling Lin

Office of Comptroller of Currency

Robert F. Engle

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); New York University (NYU) - Volatility and Risk Institute

Abstract

This paper investigates empirically how returns and volatilities of stock indices are correlated between the Tokyo and New York markets. Using intradaily data that define daytime and overnight returns for both markets, we find that Tokyo (New York) daytime returns are correlated with New York (Tokyo) overnight returns. We intrepret this evidence that information revealed during the trading hours of one market has a global impact on the returns of the other market. In order to extract the global factor from the daytime returns of one market, we propose and estimate a signal model with GARCH processes.

JEL Classification: G12, G14, G15

Suggested Citation

Lin, Wenling and Engle, Robert F., Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies, Volume 7, Number 4, 1994.. Available at SSRN: https://ssrn.com/abstract=5347

Wenling Lin (Contact Author)

Office of Comptroller of Currency ( email )

400 7th Street SW
Washington, DC 20219
United States

Robert F. Engle

New York University (NYU) - Department of Finance

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

New York University (NYU) - Volatility and Risk Institute ( email )

44 West 4th Street
New York, NY 10012
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
1,140
PlumX Metrics