Transmission of Information Across International Equity Markets

By Jon Wongswan. 2003

218 citations recorded by the source corpus.

This paper provides evidence of transmission of information from the U.S. and Japan to Korean and Thai equity markets during the period from 1995 through 2000. Information is defined as important macroeconomic announcements in the U.S., Japan, Korea, and Thailand. Using high-frequency intraday data, I focus the study on return volatility and trading volume because the implications of new information are much clearer than for returns. I find a large and significant association between emerging-economy equity volatility and trading volume and developed-economy macroeconomic announcements at short-time horizons. This is the first strong evidence of this sort of international information transmission. Previous studies' findings of at most weak evidence may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as the measure of information.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/867b93d4c7f46946be6224cfbf31a573cf7d24b0

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Citations in the corpus

The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data (2009, background): “to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, background): “Although one can learn much from the analysis of daily or weekly data, this relatively lowfrequency data may fail to detect both the effect of information that is incorporated very quickly as well as any short-run dynamic effects (Wongswan, 2006).”
Jumps and Information Flow in Financial Markets (2012, background): “See Andersen and Bollerslev (1998), Andersen, Bollerslev, Diebold, and Vega (2003), Wongswan (2006), and the references therein for the impact of macroeconomic fundamentals on foreign currency exchange markets, futures markets, treasury (bond) markets, and international stock markets.”
Global Financial Transmission of Monetary Policy Shocks (2009, unknown): “Wongswan (2003) finds that macroeconomic announcements in the US and Japan affect equity markets in Korea and Thailand.”