Correlations in Price Changes and Volatility Across International Stock Markets

Hamao, Yasushi; Masulis, Ronald W.; Ng, Victor

Download This Paper

Open PDF in Browser

Add Paper to My Library

Correlations in Price Changes and Volatility Across International Stock Markets

Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990

27 Pages Posted: 28 Feb 2006

See all articles by Yasushi Hamao

Yasushi Hamao

University of Southern California - Marshall School of Business - Finance and Business Economics Department; Center on Japanese Economy and Business

University of New South Wales, Sydney; European Corporate Governance Institute (ECGI); Financial Research Network (FIRN); National University of Singapore (NUS) - Asian Bureau of Finance and Economic Research (ABFER)

Victor Ng

University of Michigan at Ann Arbor

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 Classification: F30, G15, C32, G14

Suggested Citation: Suggested Citation

Hamao, Yasushi and 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