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How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High‐Frequency Data

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  • YOSHIRO TSUTSUI
  • KENJIRO HIRAYAMA

Abstract

This paper uses one‐min returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six min, but New York reacts within fourteen min. Dividing the sample period into three subperiods, we found that the response time has shortened and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.

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  • Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High‐Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201, June.
    • Handle: RePEc:bla:jecrev:v:61:y:2010:i:2:p:175-201
    DOI: 10.1111/j.1468-5876.2009.00480.x
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    2. Lise Clain-Chamosset-Yvrard & Takashi Kamihigashi, 2015. "International Transmission of Bubble Crashes in a Two-Country Overlapping Generations," Discussion Paper Series DP2015-43, Research Institute for Economics & Business Administration, Kobe University.
    3. Fukuda, Shin-ichi, 2015. "Abenomics: Why was it so successful in changing market expectations?," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 1-20.
    4. Lise Claini-Chamosset-Yvrard & Takashi Kamihigashi, 2015. "International Transmission of Bubble Crashes: Stationary Sunspot Equilibria in a Two-Country Overlapping Generations Model," Discussion Paper Series DP2015-21, Research Institute for Economics & Business Administration, Kobe University.
    5. Shin-ichi Fukuda, 2016. "Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York," International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 339-359, July.

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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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