Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the efficiency has improved and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.international linkage, stock prices, market efficiency, high frequency data

Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the efficiency has improved and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.

Are Chinese Stock Investors Watching Tokyo? An Analysis of Intraday High-Frequency Data from Two Chinese Stock Markets and the Tokyo Stock

Intraday minute-by-minute data from the Tokyo, Shanghai, and Shenzhen stock exchanges from January 7, 2008, to January 23, 2009, are analyzed to investigate the interaction between the Japanese and Chinese stock markets. We focus on two windows of time during which all three stock exchanges trade shares simultaneously, and specify appropriate lags in vector autoregression (VAR) estimations. Granger causality tests, variance decompositions, and impulse response functions show that, while Tokyo is impacted by Chinese stock price movements, China is relatively isolated. This implies that investors in Japan are more internationally oriented and alert to foreign markets than those in China.international linkage of stock prices, high frequency data, inefficiency, overreaction, China

How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three subperiods, we found that the response time has shortened and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise.international linkage, stock prices, market efficiency, high frequency data

Charge noise analysis of an AlGaAs/GaAs quantum dot using transmission-type radio-frequency single-electron transistor technique

Radio-frequency (rf)- operated single-electron transistors (SETs) are high-sensitivity, fast-response electrometers, which are valuable for developing new insights into single-charge dynamics. We investigate high-frequency (up to 1 MHz) charge noise in an AlGaAs/GaAs quantum dot using a transmission-type rf-SET technique. The electron capture and emission kinetics on a trap in the vicinity of the quantum dot are dominated by a Poisson process. The maximum bandwidth for measuring single trapping events is about 1 MHz, which is the same as that required for observing single-electron tunneling oscillations in a measurable current (~0.1pA).Comment: 4 pages, 4 figures, to be published in Appl. Phys. Let

Landauer-B\"uttiker approach for hyperfine mediated electronic transport in the integer quantum Hall regime

The interplay of spin-polarized electronic edge states with the dynamics of the host nuclei in quantum Hall systems presents rich and non-trivial transport physics. Here, we develop a Landauer-B\"uttiker approach to understand various experimental features observed in the integer quantum Hall set ups featuring quantum point contacts. The approach developed here entails a phenomenological description of spin resolved inter-edge scattering induced via hyperfine assisted electron-nuclear spin flip-flop processes. A self-consistent simulation framework between the nuclear spin dynamics and edge state electronic transport is presented in order to gain crucial insights into the dynamic nuclear polarization effects on electronic transport and in turn the electron-spin polarization effects on the nuclear spin dynamics. In particular, we show that the hysteresis noted experimentally in the conductance-voltage trace as well as in the resistively detected NMR lineshape results from a lack of quasi-equilibrium between electronic transport and nuclear polarization evolution. In addition, we present circuit models to emulate such hyperfine mediated transport effects to further facilitate a clear understanding of the electronic transport processes occurring around the quantum point contact. Finally, we extend our model to account for the effects of quadrupolar splitting of nuclear levels and also depict the electronic transport signatures that arise from single and multi-photon processes.Comment: 21 pages, 8 figure