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Rev Fin 1990; 3:281-307
© 1990 the Society for Financial Studies

Article

Correlations in price changes and volatility across international stock markets

Y Hamao1, RW Masulis2 and V Ng3
1 Graduate School of International Relations and Pacific Studies, University of California, San Diego, CA 92093-0519, USA
2 Vanderbilt University
3 University of Michigan, Michigan, USA

Abstract

The short-run interdependence of prices and price volatility across three major international stock market 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 relationship. 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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