Lin, W., Engle, R.F., and Ito, T., "Do Bu lls and Be ars Move A cross B orde rs? Inte rnat iona l Transmission of Stock Returns and Volatility, Review of Financial Studies, Vol. 7 No. 3 (Fall 1994), pp. 507-538.  Home/Search   Document Not in Database   Summary   Related Articles

....contract is transmitted to other currency futures, although the pattern is very diverse. Studies of the transmission of volati lity among international stock markets examine vola tility spillovers from one marke t to another. Eun andShim (1989) use daily prices, Hamao, Masulis, and Ng (1990) and Lin, Engle and Ito (1994) use daily open and closing prices, and King and Wadhwani (1990) use hourly prices around the 1987 crash to validate volatility spillovers among these markets. 2 Stock index futures versus cash index volatility provide higher frequency data to examine volatility transmission. Cheung and Ng ....

Lin, W., Engle, R.F., and Ito, T., "Do Bu lls and Be ars Move A cross B orde rs? Inte rnat iona l Transmission of Stock Returns and Volatility, Review of Financial Studies, Vol. 7 No. 3 (Fall 1994), pp. 507-538.

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