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| Author: | Lin, W. Engle, R. Ito, T. |
| Title: | Do bulls and bears move across borders? International transmission of stock returns and volatility |
| Journal: | Review of Financial Studies
1994 : FALL, VOL. 7:3, p. 507-538 |
| Index terms: | INTERNATIONAL STOCK RETURNS FINANCE |
| Language: | eng |
| Abstract: | This article investigates empirically how returns and volatilities of stock indices are correlated between the Tokyo and New York markets. Using intradaily data that define daytime and overnight returns for both markets, the authors find that Tokyo (New York) daytime returns are correlated with New York (Tokyo) overnight returns. The authors interpret this result as evidence that information revealed during the trading hours of one market has a global impact on the returns of the other market. |
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