Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92790
Authors: 
Tsutsui, Yoshiro
Hirayama, Kenjiro
Year of Publication: 
2004
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 620
Abstract: 
This paper uses one-minute 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 minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the efficiency has improved 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.
Subjects: 
international linkage
stock prices
market efficiency
high frequency data
JEL: 
G14
G15
F36
Document Type: 
Working Paper

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