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RFS Advance Access published online on March 2, 2006
Review of Financial Studies, doi:10.1093/rfs/hhj033
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© The Author 2006. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please email: journals.permissions@oxfordjournals.org

Article

Transmission of Information across International Equity Markets

Jon Wongswan 1 *
1 Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551

* To whom correspondence should be addressed.
Jon Wongswan, E-mail: Jon.Wongswan{at}frb.gov


  Abstract

This paper provides evidence of information transmission from the U.S. and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the U.S., 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.


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