THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS

Kent G. Becker · Joseph E. Finnerty · Alan L. Tucker

64 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Abstract Contrary to the efficient market hypothesis, previous research documents a significant correlation between lagged U.S. close‐to‐close stock market returns and current open‐to‐close Japanese equity market returns. We find that the significant correlation is limited to the first hour of Japanese trading, with subsequent hourly returns independent of lagged U.S. returns. This evidence suggests that the documented significant correlation is attributable to a sticky Japanese opening value associated with the use of nonsynchronous index data.

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References

1990Correlations in Price Changes and Volatility across International Stock Markets 1986A transaction data study of weekly and intradaily patterns in stock returns 1990An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989 1985Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects 1990The Intertemporal Relation Between the U. S. and Japanese Stock Markets 1989The behavior of prices in the Nikkei spot and futures market 1990Weekly Patterns in Japanese Stock Returns

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