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

The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.

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.

Overview

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Crossref · 10.1093/rfs/3.2.281

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36 of 36 references verified0 citation errors · 0 not checkable

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Metadata

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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