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

Material type: 文書・図像類

Author: Tsutsui, Yoshiroほか

Publisher: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

Publication date: 2004-10

Material Format: Paper

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Note (General)：: * 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....

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Paper

Material Type: 文書・図像類
Title: Market Efficiency and International Linkage of Stock Prices : An Analysis with High Frequency Data
Author/Editor: Tsutsui, Yoshiro
Hirayama, Kenjiro
Author Heading: Tsutsui, Yoshiro
https://nrid.nii.ac.jp/nrid/1000050163845
Hirayama, Kenjiro
https://nrid.nii.ac.jp/nrid/1000070165207
Publication, Distribution, etc.: Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University
Publication Date: 2004-10
Publication Date (W3CDTF): 2004-10
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 03-04-Rev.
Volume: 03-04-Rev.
Text Language Code: eng
Subject Heading: international linkage
stock prices
market efficiency
high frequency data
Target Audience: 一般
Note (General): * 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.
References (URI): http://www2.econ.osaka-u.ac.jp/library/global/dp/0304R.pdf
URI
http://www2.econ.osaka-u.ac.jp/library/global/dp/0304R.pdf
Data Provider (Database): 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
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華