Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York

Milunovich, G; Thorp, SJ

Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York

Milunovich, G Thorp, SJ

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Publisher:: Elsevier Ltd
Publication Type:: Journal Article
Citation:: Journal of Multinational Financial Management, 2007, 17 (4), pp. 275 - 289
Issue Date:: 2007-01

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Field	Value	Language
dc.contributor.author	Milunovich, G	en_US
dc.contributor.author	Thorp, SJ	en_US
dc.date.issued	2007-01	en_US
dc.identifier.citation	Journal of Multinational Financial Management, 2007, 17 (4), pp. 275 - 289	en_US
dc.identifier.issn	1042-444X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5339
dc.description.abstract	Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adjusted series to measure integration among three major equity markets. Because the adjusted daytime return series are uncorrelated, we can accurately measure the size, and identify the sources, of transmissions. Overnight news, as represented by foreign open-to-close returns, explains 13% of opening price variation (close-toopen returns) in NewYork, 14% in Tokyo and 30% in London. ForNewYork and Tokyo, the largest influences come from the market that trades immediately prior (London and New York respectively) whereas opening price variation in London is linked closer with New York than Tokyo. Foreign volatility spillovers are also significant, and subject to asymmetric effects.	en_US
dc.publisher	Elsevier Ltd	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0556775
dc.relation.ispartof	Journal of Multinational Financial Management	en_US
dc.relation.isbasedon	https://doi.org/10.1016/j.mulfin.2007.02.001	en_US
dc.rights	Elsevier required licence: © 2007 . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The definitive publisher version is available online at https://doi.org/10.1016/j.mulfin.2007.02.001	en_US
dc.subject.classification	Finance	en_US
dc.title	Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	17	en_US
utslib.for	150202 Financial Econometrics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - CENSOC - Study of Choice
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	4	en_US
pubs.volume	17	en_US

Abstract:

Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adjusted series to measure integration among three major equity markets. Because the adjusted daytime return series are uncorrelated, we can accurately measure the size, and identify the sources, of transmissions. Overnight news, as represented by foreign open-to-close returns, explains 13% of opening price variation (close-toopen returns) in NewYork, 14% in Tokyo and 30% in London. ForNewYork and Tokyo, the largest influences come from the market that trades immediately prior (London and New York respectively) whereas opening price variation in London is linked closer with New York than Tokyo. Foreign volatility spillovers are also significant, and subject to asymmetric effects.

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http://hdl.handle.net/10453/5339