Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets
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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.
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 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.
Financial Market Drift
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Author : Lukas Menkhoff
language : en
Publisher: Springer Science & Business Media
Release Date : 2000-12-04
Financial Market Drift written by Lukas Menkhoff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-12-04 with Business & Economics categories.
International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.
Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan
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Author : Ping Wang
language : en
Publisher:
Release Date : 2014
Price And Volatility Spillovers Between The Greater China Markets And The Developed Markets Of The Us And Japan written by Ping Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating previous stylish conclusions. It has been established that volatility spillovers are stronger than price spillovers between the Greater China markets and the developed markets of the US and Japan. The dominance effect of developed markets over developing markets does not show up in the present study. Moreover, the extent of influence by the developed market on the developing market is found to be associated with the degree of market openness of the developing economy.
The Esg Framework And The Energy Industry
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Author : James Thewissen
language : en
Publisher: Springer Nature
Release Date : 2024-01-13
The Esg Framework And The Energy Industry written by James Thewissen and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-01-13 with Business & Economics categories.
This book contributes to a better understanding of the importance of environmental, social, and governance (ESG) principles for corporate value in the energy industry. In particular, it analyzes how the energy industry is achieving this shift in response to government regulations and how it is addressing specific ESG issues. It discusses various economic incentives and market-based policies for ESG activities in the energy sector and highlights how energy firms are using environmental, social and governance initiatives to create value. In turn, the book demonstrates how ESG principles can be implemented while considering various economic and corporate issues, such as financial markets, financial risks, asset pricing, value at risk, capital structure, capital budgeting, corporate (re)structuring, corporate governance, behavioral finance, financial performance, asset pricing, cost control, financial accounting, fiscal issues, institutions, governance, and legal aspects. Accordingly, it will appeal to scholars of economics, finance, and energy policy, and to anyone interested in the implementation of ESG principles in the energy industry. This is the ninth book in a series organized by the Centre for Energy and Value Issues (CEVI). In this book, CEVI collaborates with the Hacettepe University Energy Markets Research and Application Center (Ankara, Turkey). The previous volumes in the series were: Financial Aspects in Energy (2011), Energy Economics and Financial Markets (2012), Perspectives on Energy Risk (2014), Energy Technology and Valuation Issues (2015), Energy and Finance (2016), Energy Economy, Finance and Geostrategy (2018), Financial Implications of Regulations in the Energy Industry (2020) and Applied Operations Research and Financial Modelling in Energy (2021).