Finance and Financial Management Commons^™

Changes In The Intertemporal Relation Between The U.S. And Japanese Stock Markets, Rustin Paul Diehl

Undergraduate Honors Capstone Projects

This paper finds a decreasing relationship between daytime trading in previous-day US equity markets and the Japanese market performance in the current period. On the other hand, the connection has increased between current US equity markets and current, after-hour Japanese markets. These changes have corrected a previous violation of the efficient market hypothesis, and suggest that as internet trading has increased volumes of off-hour trading, the Japanese equity markets have been better able to digest information from current US markets.