Transmission of Information Across International Equity Markets

Posted: 29 Feb 2008

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Abstract

This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, 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. (JEL E44, G14, G15)

Suggested Citation

Wongswan, Jon, Transmission of Information Across International Equity Markets. The Review of Financial Studies, Vol. 19, Issue 4, pp. 1157-1189, 2006, Available at SSRN: https://ssrn.com/abstract=1097948 or http://dx.doi.org/10.1093/rfs/hhj033

Jon Wongswan (Contact Author)

Phatra Securities ( email )

11F Muang Thai-Phatra Office Tower 1
252/6 Ratchadapisek Road
Bangkok, 10400
Thailand

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