Transmission of Information across International Equity Markets
利用高频日内数据，发现美国和日本的重要宏观经济公告对韩国和泰国股市的波动率和交易量有显著短期影响，解释了为何以往低频研究证据不足。
This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information. Copyright 2006, Oxford University Press.