Transmission of stock returns and volatility between the U.S. and Japan: evidence from the stock index futures markets

Asia-Pacific Financial Markets

Volumn 6, Issue 3, 1999, Pages 211-225

  Pan, Ming Shiun ^a   Paul Hsueh, L ^b  

^a SHIPPENSBURG UNIVERSITY   (United States)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Nonsynchronous trading; Spillover effect; Stock index futures

Indexed keywords

EID: 2242476161     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (23)

1. Aggarwal, R. and Park, Y.S. (1994), The relationship between daily U.S. and Japanese equity prices: Evidence from spot versus futures markets, J. Banking Finance 18, 757-773.
2. Bae, K.H. and Karolyi, A.G. (1994), Good news, bad news and international spillovers of stock return volatility between Japan and the U.S., Pacific-Basin Finance J. 2, 405-438.
3. Becker, K.G., Finnerty, J.E., and Tucker, A.L. (1992), The intraday interdependence structure between U.S. and Japanese equity markets, J. Financ. Res. 15 (1), 27-37.
4. Becker, K.G., Finnerty, J.E., and Tucker, A.E. (1993), The overnight and daily transmission of stock index futures prices between major international markets, J. Busin. Account. 20, 699-710.
5. Booth, G.G., Lee, T.-H., and Tse, Y. (1996), International linkages in Nikkei stock index futures markets, Pacific-Basin Finance J. 4, 59-76.
6. Bollerslev, T., Chou, R. Y., and Kroner, K. (1992), ARCH modeling in finance: A selective review of the theory and empirical evidence, J. Econometrics 52, 5-59.
7. Boudoukh, J., Richardson, M., and Whitelaw, R. (1994), A tale of three schools: Insights on autocorrelations of short-horizon stock returns, Rev. Financ. Stud. 7, 539-573.
8. Chan, K. (1992), A further analysis of the lead-lag relationship between the cash market and stock index futures market, Rev. Financ. Stud. 5, 123-152.
9. Errunza, V. and Losq, E. (1985), The behavior of stock prices on LDC markets, J. Banking Finance 9, 561-575.
10. Eun, C. and Shim, S. (1989), International transmission of stock market movements, J. Financ. Quantitat. Anal. 24, 241-256.
11. Glosten, E.R., Jagannathan, R., and Runkle, D.E. (1993), On the relation between the expected value and the volatility of the nominal excess return on stocks, J. Finance 68, 1779-1801.
12. Hamao, Y, Masulis, R., and Ng, V. (1990), Correlations in price changes and volatility across international stock markets, Rev. Financ. Stud. 3, 281-308.
13. Kawaller, I.G., Koch, P.D., and Koch, T.W. (1993), Intraday market behavior and the extent of feedback between S&P 100 futures prices and the S&P 500 index, J. Financ. Res. 16, 107-121.
14. Kim, C. and Park, J. (1994), Holiday effect and stock returns: Further evidence, J. Financ. Quantitat. Anal. 29, 45-157.
15. King, M. and Wadhwani, S. (1990), Transmission of volatility between stock markets, Rev. Financ. Stud. 3, 5-33.
16. Lin, W., Engle, R., and Ito, T. (1994), Do bulls and bears move across borders? International transmission of stock returns and volatility, Rev. Financ. Stud. 7, 507-538.
17. Newey, W. and West, K. (1987), A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
18. Ross, S. (1989), Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy, J. Finance 44, 1-17.
19. Scholes, M. and Williams, J. (1977), Estimating betas from nonsynchronous data, J. Financ. Econom. 5, 309-327.
20. Stoll, H. and Whaley, R. (1990), The dynamics of stock index and stock index futures returns, J. Financ. Quantitat. Anal. 25, 441-468.
21. Susmel, R. and Engle, R.F. (1994), Hourly volatility spillovers between international equity markets, J. Int. Money Finance 13, 3-25.
22. Theodossiou, P. and Lee, U. (1993), Mean and volatility spillovers across major national stock markets: Further empirical evidence, J. Finance Res. 16, 337-350.
23. von Furstenberg, G. and Jeon, B. (1989), International stock price movements: Links and messages, Brookings Papers on Economic Activity 1, 125-167.