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THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS
Author(s) -
Becker Kent G.,
Finnerty Joseph E.,
Tucker Alan L.
Publication year - 1992
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1992.tb00784.x
Subject(s) - equity (law) , economics , financial economics , stock (firearms) , econometrics , index (typography) , correlation , stock market , monetary economics , geography , mathematics , context (archaeology) , geometry , archaeology , world wide web , political science , computer science , law
Contrary to the efficient market hypothesis, previous research documents a significant correlation between lagged U.S. close‐to‐close stock market returns and current open‐to‐close Japanese equity market returns. We find that the significant correlation is limited to the first hour of Japanese trading, with subsequent hourly returns independent of lagged U.S. returns. This evidence suggests that the documented significant correlation is attributable to a sticky Japanese opening value associated with the use of nonsynchronous index data.