Pan, Ming-Shiun; Hsueh, L. - In: Asia-Pacific Financial Markets 5 (1998) 3, pp. 211-225
In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices to mitigate the stale quote problem found in the spot index prices...