Interaction between stock markets: An analysis of the common trading hours at the London and New York stock exchange

Journal of International Money and Finance

Volumn 16, Issue 3, 1997, Pages 387-414

  Kofman, Paul ^a   Martens, Martin ^b  

^a MONASH UNIVERSITY   (Australia)

^b LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031164805     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(97)00004-1     Document Type: Article

References (28)

1. Abhyankar, A.H. (1995) Return and volatility dynamics in the FTSE 100 stock index and stock index futures markets. Journal of Futures Markets 15, 457-488.
2. Abhyankar, A.H., Copeland, L.S. and Wong, W. (1995) LIFFE cycles: Intraday evidence from the FTSE 100 stock index futures market. University of Stirling Working Paper.
3. Andersen, T.G. and Bollerslev, T. (1994) Intraday seasonality and volatility persistence in foreign exchange and equity markets. Northwestern University Working Paper No. 186.
4. Becker, K.G., Finnerty, J.E. and Gupta, M. (1990) The intertemporal relation between the U.S. and the Japanese stock markets. Journal of Finance 45, 1297-1306.
5. Becker, K.G., Finnerty, J.E. and Tucker, A.L. (1992) The intraday interdependence structure between US and Japanese equity markets, Journal of Financial Research 15, 27-37.
6. Becker, K.G., Finnerty, J.E. and Tucker, A.L. (1993) The overnight and daily transmission of stock index futures prices between major international markets. Journal of Business Finance & Accounting 20, 699-710.
7. Bishop, Y.M.M., Fienberg, S.E. and Holland, P.W. (1975) Discrete Multivariate Analysis; Theory and Practice. MIT Press, Cambridge, MA.
8. Chan, K. (1992) A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies 5, 123-152.
9. Ederington, L.H. and Lee, J.H. (1993) How markets process information: News releases and volatility. Journal of Finance 48, 1161-1191.
10. Eun, C.S. and Shim, S. (1989) International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24, 241-256.
11. Gallant, A.R. (1981) On the bias in flexible functional forms and an essentially unbiased form: The Fourier Flexible Form. Journal of Econometrics 15, 211-245.
12. Glosten, L.R. and Harris, L.E. (1988) Estimating the components of the bid/ask spread. Journal of Financial Economics 21, 123-142.
13. Hamao, Y., Masulis, R.W. and Ng, V.K. (1990) Correlations in price changes and volatility across international stock markets. Review of Financial Studies 3, 281-307.
14. Hampel, F.R., Ronchetti, E.M., Rosseeuw, P.J. and Stahel, W.A. (1986) Robust Statistics. The Approach Based on Influence Functions. Wiley, New York.
15. Kawaller, I.G., Koch, P.D. and Koch, T.W. (1987) The temporal price relationship between S&P futures and the S&P 500 index. Journal of Finance 42, 1309-1329.
16. King, M. and Wadhwani, S. (1990) Transmission of volatility between stock markets. Review of Financial Studies 3, 5-33.
17. Lin, W.-L., Engle, R.F. and Ito, T. (1994) Do bulls and bears move across borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies 7, 507-538.
18. Locke, P.R. and Sayers, C.L. (1993) Intraday futures price volatility: information effects and variance persistence. Journal of Applied Econometrics 8, 15-30.
19. Newey, W.K., and West, K. (1987) A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
20. Pagan, A.R. and Schwert, G.W. (1990) Alternative models for conditional stock volatility. Journal of Econometrics 45, 267-290.
21. Patell, J. and Wolfson, M. (1984) The intraday speed of adjustment of stock prices to earnings and dividend announcements. Journal of Financial Economics 13, 223-252.
22. Pierce, D.A. and Haugh, L.D. (1977) Causality in temporal systems: Characterisations and a survey. Journal of Econometrics 5, 265-293.
23. Roll, R. (1984) A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 39, 1127-1139.
24. Stoll, H.R. (1989) Inferring the components of the bid-ask spread. Journal of Finance 44, 115-134.
25. Stoll, H.R., and Whaley, R.E. (1990) The dynamics of stock index and stock futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
26. von Furstenberg, G.M. and Jeon, B.N. (1989) International stock price movements: Links and messages. Brookings Papers on Economic Activity I, 125-167.
27. White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817-838.
28. Yadav, P.K., and Pope, P.F. (1990) Stock index futures arbitrage: International evidence. Journal of Futures Markets 10, 573-603.