Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Allan William Kleidon
language : en
Publisher:
Release Date : 1994
Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Allan William Kleidon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Rate of return categories.
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Takatoshi Itō
language : en
Publisher:
Release Date : 1993
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Takatoshi Itō and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Rate of return categories.
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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Author : Takatoshi Ito
language : es
Publisher:
Release Date : 1993
Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Takatoshi Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Price Volatility And Volumen Spillovers Between The Tokyo And New York Stock Markets
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Author : Takatoshi Ito
language : en
Publisher:
Release Date : 1993
Price Volatility And Volumen Spillovers Between The Tokyo And New York Stock Markets written by Takatoshi Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Price Vbolatility And Volume Spilloversbetween The Tokyo And New York Stock Markets
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Author : Takaoshi Ito
language : en
Publisher:
Release Date : 1993
Price Vbolatility And Volume Spilloversbetween The Tokyo And New York Stock Markets written by Takaoshi Ito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Correlations In Price Changes And Volatility Across International Stock Markets
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Author : Yasushi Hamao
language : en
Publisher:
Release Date : 2006
Correlations In Price Changes And Volatility Across International Stock Markets written by Yasushi Hamao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
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.
The Internationalization Of Equity Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2008-04-15
The Internationalization Of Equity Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-15 with Business & Economics categories.
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
The Economics Of Recent Bond Yield Volatility
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Author : C. E. V. Borio
language : en
Publisher: Bank for International Settlements
Release Date : 1996
The Economics Of Recent Bond Yield Volatility written by C. E. V. Borio and has been published by Bank for International Settlements this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Bond market categories.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Bis Economic Papers
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Author : Palle Schelde Andersen
language : en
Publisher:
Release Date : 1979
Bis Economic Papers written by Palle Schelde Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Assets (Accounting) categories.