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| Author: | Kofman, P. Martens, M. |
| Title: | Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange |
| Journal: | Journal of International Money and Finance
1997 : JUN, VOL. 16:3, p. 387-414 |
| Index terms: | FINANCE STOCK MARKETS TRADING HOURS |
| Language: | eng |
| Abstract: | This paper examines the spill-overs in both returns and volatility between the London and New York stock markets during overlapping trading hours. Using high-frequency data for the FTSE and S&P stock index futures, the authors estimate the seasonal patterns in volatility using a Flexible Fourier Form specification. The estimated seasonals are used to adjust the returns before conducting the lead-lag analysis. The results indicate that both markets influence each other, although the impact of the USA on the UK is clearly stronger. |
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