How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other? An Analysis With High-Frequency Data

Tsutsui, Yoshiro; Hirayama, Kenjiro

doi:10.1111/j.1468-5876.2009.00480.x

Cited by 4 publications

(1 citation statement)

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“…But few explored them by using high frequency data with market-specific features. In investigating market-specific features by intra-daily data, our analysis has motivations that are similar to those in Ito and Roley (1987), Tsutsui andHirayama (2010), andFukuda (2012). These studies pointed out that there were different market responses in different time zones.…”

Section: Introductionmentioning

confidence: 72%

Abenomics: Why was it so successful in changing market expectations?

Fukuda

2015

Journal of the Japanese and International Economies

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a b s t r a c tFukuda, Shin-ichi-Abenomics: Why was it so successful in changing market expectations? 'Abenomics' refers to a new unconventional economic policy regime in Japan since late 2012. It consists of three arrows: unconventional monetary policy (the first arrow), expansionary fiscal policy (the second arrow), and economic growth strategies to encourage private investment (the third arrow). After the new regime started, both the stock and the foreign exchange markets reacted very favorably. The purpose of this paper is to investigate why the markets reacted to the new regime so favorably. Unlike orthodox arguments, we focus on asymmetric behavior between local and foreign investors after December 2012. We show that under the new regime, foreign investors were aggressive in purchasing Japanese stocks and in selling the Japanese yen, while local investors were not. By using high frequency intra-daily data, both structural break tests and regression analysis show that various news shocks had more significant impacts on the stock prices and exchange rates in nighttime than in daytime even if they were revealed in daytime. Noting that local investors tend to trade in daytime, while foreign investors tend to trade in nighttime, this implies that more dramatic market responses to the new regime happened in time zones when foreign investors were active. However, the asymmetry became less significant after the market http://dx.

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Section: Introductionmentioning

confidence: 72%

Abenomics: Why was it so successful in changing market expectations?

Fukuda

2015

Journal of the Japanese and International Economies

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International transmission of bubble crashes in a two-country overlapping generations model

Clain-Chamosset-Yvrard

Kamihigashi

2017

Journal of Mathematical Economics

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Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York^*

Fukuda

2016

International Economic Journal

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During the global financial crisis, there were substantial deviations from covered interest parity (CIP) condition. In particular, during the post Lehman period, the US dollar interest rate became very low on the forward market, as compared to the rate suggested by the CIP condition. However, the deviations from CIP condition varied not only across currencies but also across markets. After presenting a simple model, the following analysis examines how the CIP condition between the Japanese yen and the US dollar was violated in Tokyo, London, and New York markets. We show that the US dollar interest rate became lowest in the New York market soon after the Lehman shock but was lowest in the Tokyo market during most of the turmoil period. The regression results suggest that credit risk in interbank markets and central banks' liquidity provisions explain the difference across the markets. However, we observe varieties of asymmetric effects across the markets.JEL codes: G15, G12, F36

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How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other? An Analysis With High-Frequency Data

Cited by 4 publications

References 33 publications

Abenomics: Why was it so successful in changing market expectations?

Abenomics: Why was it so successful in changing market expectations?

International transmission of bubble crashes in a two-country overlapping generations model

Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York^*

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How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other? An Analysis With High-Frequency Data

Cited by 4 publications

References 33 publications

Abenomics: Why was it so successful in changing market expectations?

Abenomics: Why was it so successful in changing market expectations?

International transmission of bubble crashes in a two-country overlapping generations model

Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York*

Contact Info

Product

Resources

About

Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo, London, and New York^*