The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Abstract
This article investigates empirically how returns and volatilities of stock indices are correlated between the Tokyo and New York markets. Using intradaily data that define daytime and overnight returns for both markets, we find that Tokyo (New York) daytime returns are correlated with New York (Tokyo) overnight returns. We interpret this result as evidence that information revealed during the trading hours of one market has a global impact on the returns of the other market. In order to extract the global factor from the daytime returns of one market, we propose and estimate a signal extraction model with GARCH processes.
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Cites
Estimating the Dimension of a Model
Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
Noise Trader Risk in Financial Markets
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990) · Journal of Political Economy · doi:10.1086/261703 · Cited by 6,234
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
A Theory of Intraday Patterns: Volume and Price Variability
Admati, A. R., & Pfleiderer, P. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.3 · Cited by 3,119
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Transmission of Volatility between Stock Markets
King, M. A., & Wadhwani, S. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.1.5 · Cited by 1,586
International Portfolio Choice and Corporation Finance: A Synthesis
ADLER, M., & DUMAS, B. (1983) · The Journal of Finance · doi:10.1111/j.1540-6261.1983.tb02511.x · Cited by 1,447
International Transmission of Stock Market Movements
Eun, C. S., & Shim, S. (1989) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2330774 · Cited by 1,412
Day of the Week Effects and Asset Returns
Gibbons, M. R., & Hess, P. (1981) · The Journal of Business · doi:10.1086/296147 · Cited by 1,170
An equilibrium model of the international capital market
Solnik, B. H. (1974) · Journal of Economic Theory · doi:10.1016/0022-0531(74)90024-6 · Cited by 1,129
Cited by
Sadorsky, P. (2012) · Energy Economics · doi:10.1016/j.eneco.2011.03.006 · Cited by 874
Price discovery and volatility spillovers in the DJIA index and futures markets
Tse, Y. (1999) · Journal of Futures Markets · doi:10.1002/(sici)1096-9934(199912)19:8 · Cited by 284
On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets
Candila, V., & Farace, S. (2018) · Risks · doi:10.3390/risks6040116 · Cited by 15
Metadata
- Authors
- Lin, W.-L., Engle, R. F., & Ito, T.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1994-07
- Volume
- 7
- Issue
- 3
- Pages
- 507-538
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2028738662
- Cited by
- 873
- References
- 31
- FWCI
- 16.56
- Type
- journal article
- Language
- en
- Open access
- closed
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- Lin, W.-L., Engle, R. F., & Ito, T. (1994). Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies. https://doi.org/10.1093/rfs/7.3.507
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
