The Lead-Lag Relation Between Stock Exchanges: The Interesting Case of Israel and New Zealand

Based on the background of stock market integration, studying the diffusion process of stock prices around the world has become attractive. Different from much of the literature focusing on the case of overlapping trading time in different stock markets, our paper pays attention to the case of non-overlapping trading time in global stock markets. We have selected the US, New Zealand and Israel stock market as a case study. As we conjecture, we find that Israel index’s performance on Sunday has a significant correlation on New Zealand index’s performance on Monday, while no significant relation is found on other weekdays.