Gagnon, Louis; Karolyi, G.Andrew - In: The Japanese finance : corporate finance and capital …, (pp. 347-377). 2003
Using intraday prices for the S&P 500 and Nikkei Stock Average stock indexes and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in...
