Cited by 1,926Financial Risk and Volatility ModelingMarket Dynamics and VolatilityFinancial Markets and Investment Strategies

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Correlations in Price Changes and Volatility across International Stock Markets

Hamao, Yasushi, Masulis, Ronald W., Ng, Victor·1990·Review of Financial Studies

DOI 10.1093/rfs/3.2.281

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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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Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1
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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
DOI: 10.1093/rfs/3.2.281
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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Correlations in Price Changes and Volatility across International Stock Markets

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