Intra-day transmission of international stock prices

Using five-minute index data from three major countries, i.e. the U.S., the U.K., and Canada, we investigate the pattern of cross-border transmission of stock price innovations during the overlapping trading hours, i.e. 9:30 a.m. to 11:30 a.m. in EST. A Sim's test indicates that the U.S. stock market leads the U.K. market by five minutes and the Canadian market by fifteen minutes. Second, the U.S. stock market price is found to cause both the Canadian and U.K. market prices in the Granger sense, with little or no feedback received from either foreign market. Third, an extended-hours analysis of intra-day interactions between the U.S. and Canadian markets reveals a reverse J-curve pattern.