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Transmission of Information across International Equity Markets

Jon Wongswan^1,2

¹ Federal Reserve Board of Governors · ² Federal Reserve

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. (JEL E44, G14, G15)

DOI

10.1093/rfs/hhj033

Volume

19 (4)

Pages

1157-1189

Language

en

Export

BibTeX

Sources

openalex crossref