Transmission of information across international equity markets

• 成果类型: Article
• 署名作者: Wongswan, Jon
• 署名单位: Federal Reserve System - USA
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj033
• 发表日期: 2006
• 页码: 1157
• 关键词: TRADING VOLUME; RETURN VOLATILITY; economic-news; price changes; STOCK; US; announcements; patterns; COSTS; JAPAN

摘要

This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information.