Correlations in price changes and volatility across international stock markets
Abstract
The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH) family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New York to London is observed, but no price volatility spillover effects in other directions are found for the pre-October 1987 period.
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Volatility spillover reflects a connection between the financial and real sectors that can heighten systemic risk within food markets, reducing diversification benefits during times of financial stress.
“This transmission, referred to as 'volatility spillover', reflects a connection between the financial and real sectors that can heighten systemic risk within food markets, reducing diversification benefits during times of financial stress”
From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Hamao et al. 1990
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- Authors
- Hamao, Y., Masulis, R. W., & Ng, V.
- Affiliations
- University of Southern California (US)
- National University of Singapore (SG)
- University of Michigan (US)
- ORCID
- Masulis, Ronald W.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1990-04
- Volume
- 3
- Issue
- 2
- Pages
- 281-307
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2091358667
- Cited by
- 1,926
- References
- 29
- Citations by year
- 2026: 21 · 2025: 24 · 2024: 33 · 2023: 53 · 2022: 55 · 2021: 62 · 2020: 51 · 2019: 68 · 2018: 73 · 2017: 69 · 2016: 81 · 2015: 82 · 2014: 101 · 2013: 108 · 2012: 99
- FWCI
- 46.06
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Review of Financial Studies (publishedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Keywords
- international stock markets, Japanese stock market, London stock market, New York stock market, stock index prices, ARCH models, 1987 stock market crash
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