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Using intraday prices for the S&P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return "spillovers" are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
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