Transmission of Information Across International Equity Markets
Preprint
- 1 January 2003
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000.Keywords
All Related Versions
This publication has 19 references indexed in Scilit:
- Range‐Based Estimation of Stochastic Volatility ModelsThe Journal of Finance, 2002
- International equity market comovements: Economic fundamentals or contagion?Pacific-Basin Finance Journal, 2002
- Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign ExchangePublished by National Bureau of Economic Research ,2002
- Pre-Announcement Effects, News, and Volatility: Monetary Policy and the StockSSRN Electronic Journal, 2001
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesThe Journal of Finance, 1998
- Emerging equity market volatilityJournal of Financial Economics, 1997
- Pacific-Basin stock markets and real activityPacific-Basin Finance Journal, 1994
- How Markets Process Information: News Releases and VolatilityThe Journal of Finance, 1993
- Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange MarketEconometrica, 1990
- A Theory of Intraday Patterns: Volume and Price VariabilityThe Review of Financial Studies, 1988