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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...
Persistent link: https://www.econbiz.de/10012780860
This paper examines daily open-to-close returns of major stock market indices on the New York Stock Exchange, Tokyo Stock Exchange and the London Stock Exchange over the 1985-1990 period, which encompasses the October 1987 Stock Market Crash. We estimate volatility spillover effects across the...
Persistent link: https://www.econbiz.de/10012780088
We explore the time series properties of overnight and daytime returns on the London Stock Exchange's primary stock market index, the FTSE-100 on the over the 1984-1991 period. We use a modified GARCH model to specify daytime and overnight return dynamics where (a) intra-day returns can have...
Persistent link: https://www.econbiz.de/10012780490
Persistent link: https://www.econbiz.de/10001756680
This study addresses an important shortcoming of most of the existing literature on credit availability by including a set of unlisted firms (which are the firms most likely to be bank dependent) in the analysis, and by investigating differences between the treatment of listed and unlisted firms...
Persistent link: https://www.econbiz.de/10013100145
We study the impact of nationalism and interstate frictions on international economic relations by analyzing market reaction to adverse shocks to Sino-Japanese relations in 2005 and 2010. Japanese companies with high China exposure suffer relative declines during each event window; a symmetric...
Persistent link: https://www.econbiz.de/10013054515
We study the impact of nationalism and interstate frictions on international economic relations by analyzing market reaction to adverse shocks to Sino-Japanese relations in 2005 and 2010. Japanese companies with high China exposure suffer relative declines during each event window; a symmetric...
Persistent link: https://www.econbiz.de/10013059922
This study uses Japanese data to address an important shortcoming of most of the existing literature on credit availability by including a set of unlisted firms (which are the firms most likely to be bank dependent) in the analysis, and by investigating differences between the treatment of...
Persistent link: https://www.econbiz.de/10009665488
Persistent link: https://www.econbiz.de/10010465992
Nihon Keizai Shinbun (Nikkei for short) is a leading Japanese daily newspaper specializing in economy and business. It is also the largest vendor of Japanese financial and economic databases. During earnings announcement season, the Nikkei morning edition often publishes “preview” articles...
Persistent link: https://www.econbiz.de/10013018908