Eun, Cheol S.; Jeong, Jin-Gil - In: European monetary union and capital markets, (pp. 157-175). 2001
Using five-minute index data from three major countries, i.e. the U.S., the U.K., and Canada, we investigate the pattern of cross-border transmission of stock price innovations during the overlapping trading hours, i.e. 9:30 a.m. to 11:30 a.m. in EST. A Sim's test indicates that the U.S. stock...
