Transmission of information across international equity markets
By: Jon Wongswan.
Series: International finance discussion papers ;; no. 759; International finance discussion papers (Online) ;; no. 759.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000.  Information is defined as important macroeconomic announcements in the U.S., Japan, Korea, and Thailand.  Using high-frequency intraday data, I focus the study on return volatility and trading volume because the implications of new information are much clearer than for returns.  I find a large and significant association between emerging-economy equity volatility and trading volume and developed-economy macroeconomic announcements at short-time horizons.  This is the first strong evidence of this sort of international information transmission.  Previous studies' findings of at most weak evidence may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as the measure of information"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 9/15/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.