Market Efficiency and International Linkage of Stock Prices : An Analysis with High Frequency Data

• 資料種別: 文書・図像類
• タイトル: Market Efficiency and International Linkage of Stock Prices : An Analysis with High Frequency Data
• 著者・編者: Tsutsui, Yoshiro; Hirayama, Kenjiro
• 著者標目: Tsutsui, Yoshiro; https://nrid.nii.ac.jp/nrid/1000050163845; Hirayama, Kenjiro; https://nrid.nii.ac.jp/nrid/1000070165207
• 出版事項: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
• 出版年月日等: 2004-10
• 出版年（W3CDTF）: 2004-10
• タイトル（掲載誌）: Discussion Papers In Economics And Business
• 巻号年月日等（掲載誌）: 03-04-Rev.
• 掲載巻: 03-04-Rev.
• 本文の言語コード: eng
• 件名標目: international linkage; stock prices; market efficiency; high frequency data
• 対象利用者: 一般
• 一般注記: * Revised: [03-04, 2003]; This paper uses one-minute returns on the TOPIX and S&P500 to examine theefficiency of the Tokyo and New York Stock Exchanges. Our major finding is thatTokyo completes reactions to New York within six minutes, but New York reactswithin fourteen minutes. Dividing the sample period into three subperiods, wefound that the efficiency has improved and the magnitude of reaction has becomelarger over the period in both markets. The magnitude of response in New York to afall in Tokyo is roughly double that of a rise.
• 参照（URI）: http://www2.econ.osaka-u.ac.jp/library/global/dp/0304R.pdf; URI
• 連携機関・データベース: 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 大阪大学 : 大阪大学学術情報庫 桜華