27 Pages Posted: 28 Feb 2006
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 Classification: F30, G15, C32, G14
Suggested Citation: 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: https://ssrn.com/abstract=886547