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Correlations in price changes and volatility across international stock markets
Authors:Hamao  Y; Masulis  RW; Ng  V
Institution:1 Graduate School of International Relations and Pacific Studies, University of California, San Diego, CA 92093-0519, USA
2 Vanderbilt University
3 University of Michigan, Michigan, USA
Abstract:The short-run interdependence of prices and price volatilityacross three major international stock market is studied. Dailyopening and closing prices of major stock indexes for the Tokyo,London, and New York stock markets are examined. The analysisutilizes the autoregressive conditionally heteroskedastic (ARCH)family of statistical models to explore these pricing relationship.Evidence of price volatility spillovers from New York to Tokyo,London to Tokyo, and New York to London is observed, but noprice volatility spillover effects in other directions are foundfor the pre-October 1987 period.
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