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