Journal Article Do bulls and bears move across borders? International transmission of stock returns and volatility Get access W-L Lin, W-L Lin Search for other works by this author on: Oxford Academic Google Scholar RF Engle, RF Engle Search for other works by this author on: Oxford Academic Google Scholar T Ito T Ito Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 7, Issue 3, July 1994, Pages 507–538, https://doi.org/10.1093/rfs/7.3.507 Published: 01 July 1994
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Lin et al. (1994) studied this question.