STOCK RETURNS AND THE TRANSFER OF INFORMATION BETWEEN THE NEW-YORK AND TOKYO STOCK EXCHANGES

This study examines the transmission of pricing information between th e New York (NYSE) and Tokyo (TSE) Stock Exchanges using opening and cl osing stock prices for seven Japanese firms. The results of this study suggest that: (1) sample firm TSE opening returns respond to changes in sample firm NYSE intraday stock performance, with transmission appa rently completed at the TSE opening; and (2) sample firm NYSE opening returns, as well as subsequent trading, respond to changes in sample f irm TSE intraday stock performance. Taken together, the evidence repor ted in this study is generally consistent with the notion of semi-stro ng form market efficiency.