Market statistics
When Wall Street falls, what happens in Tokyo the next morning
Every other market trades after New York closes, so the question is not how correlated they are — it is how much of last night's move shows up when they open. For the Asian indices the answer is roughly half to two thirds of it, and they follow four times out of five.
8 markets · data through 28 Aug 2026
After an S&P 500 session down 2% or more
- Most transmission
- Hang Seng Index
- -1.62% median · 0.63 ratio
- Least transmission
- Shanghai Composite
- -0.35% median · 0.14 ratio
- Markets measured
- 8
- each in its own next session
- Typical follow rate
- 70%
- moved the same way as New York
| Index | Median next session | Followed | Transmission | Worst | Any session | Occurrences |
|---|---|---|---|---|---|---|
| Hang Seng Index Hong Kong | -1.62% | 79.3% | 0.63 | -33.3% | +0.036% | 353 |
| Nikkei 225 Japan | -1.28% | 80.7% | 0.50 | -14.9% | +0.046% | 446 |
| KOSPI South Korea | -0.93% | 69.4% | 0.36 | -11.6% | +0.049% | 376 |
| EURO STOXX 50 Eurozone | -0.82% | 71.7% | 0.32 | -12.4% | +0.029% | 353 |
| DAX Germany | -0.78% | 67.6% | 0.30 | -13.1% | +0.051% | 333 |
| FTSE 100 United Kingdom | -0.63% | 71.0% | 0.24 | -12.2% | +0.030% | 359 |
| BSE SENSEX India | -0.45% | 65.1% | 0.17 | -13.2% | +0.091% | 378 |
| Shanghai Composite Mainland China | -0.35% | 58.2% | 0.14 | -8.5% | +0.075% | 318 |
| Index | Fell 3% or more | Fell 2% or more | Fell 1% or more | After a 2% rise |
|---|---|---|---|---|
| Hang Seng Index | -2.41%0.63x | -1.62%0.63x | -0.86%0.55x | +1.27%0.50x |
| Nikkei 225 | -2.10%0.55x | -1.28%0.50x | -0.56%0.38x | +1.00%0.40x |
| KOSPI | -1.50%0.39x | -0.93%0.36x | -0.49%0.32x | +0.80%0.32x |
| EURO STOXX 50 | -1.02%0.27x | -0.82%0.32x | -0.48%0.30x | +0.57%0.22x |
| DAX | -0.93%0.24x | -0.78%0.30x | -0.41%0.26x | +0.36%0.14x |
| FTSE 100 | -0.96%0.25x | -0.63%0.24x | -0.41%0.26x | +0.48%0.19x |
| BSE SENSEX | -1.23%0.32x | -0.45%0.17x | -0.27%0.18x | +0.43%0.17x |
| Shanghai Composite | -0.82%0.22x | -0.35%0.14x | -0.16%0.10x | +0.21%0.08x |
The US indices are excluded: they trade in the same session as the S&P 500, so their “next session” is a different question — one the page on what follows a big down day already answers. Price returns from daily closing levels. Index price returns exclude dividends.
Correlation is the wrong question when the exchanges are shut
A same-day correlation between New York and Tokyo compares two sessions that never overlapped — Tokyo closed hours before New York opened. The question that actually has an answer is what each market did in *its own next session*, and conditional on the S&P 500 having fallen. That is what this measures.
Hang Seng Index transmits the most: after a US session down 2% or more it has fallen a median 1.62%, following New York 79% of the time — a transmission ratio of 0.63, meaning roughly 63% of the US move arrives. Shanghai Composite is at the other end at 0.14 — a market driven by a domestic investor base and a different policy cycle, which is the same conclusion the correlation matrix reaches from a different direction.
Two things the table will not support. It is not a trading signal: the reaction is in the opening print, so a foreign market that "fell 1.3%" mostly gapped there before anyone could act. And it is not symmetric in usefulness — the rise rows are there as a control, and they show the same machinery working in the other direction, which is what tells you the fall rows are transmission rather than fear.
The unconditional column is the one that makes the rest readable. Each market's average session over the same window is a few hundredths of a percent; the conditional rows are one to two whole percent. Whatever else is arguable, the size of the gap is not.
Questions people ask about this
- Why measure the next session rather than the same day?
- Because the same day is not the same information. Tokyo closes before New York opens, so a same-day comparison pairs a Japanese session with an American one that had not happened yet. The market's own next session is the first time it can react — the following morning in Asia, a few hours later in Europe — and that is what this measures.
- What is the transmission ratio?
- The median foreign move divided by the median US move that preceded it. A ratio near one means the market simply repeated New York; a ratio of a half means it absorbed about half. It is a description of how much travels, not a forecast, and it is stable enough across thresholds to be worth quoting with the sample size beside it.
- Can this be traded?
- Not straightforwardly, and the reason is in the numbers. The reaction is already in the opening print — the foreign session opens gapped down, so a move measured close to close has largely happened before anyone could act on it. What the table is genuinely useful for is expectation setting: knowing that a 2% US fall has historically meant roughly a 1% Asian session, not a 2% one.
Sources and method
- Data
- Financial Modeling Prep — Daily adjusted closing levels and quotes, retrieved through Plutux's own data service.
- The index publishers — S&P Dow Jones Indices, Nikkei, Hang Seng Indexes, Korea Exchange, Shanghai Stock Exchange, Deutsche Boerse, FTSE Russell, STOXX and BSE each publish and maintain their own index.
- How it was calculated
- For each US session at or beyond the stated move, the foreign market's first session that begins strictly after it is recorded — strictly after by date, because an Asian session on the same calendar date closed before New York opened. The rows report the median and average of those foreign sessions, the share that moved the same way, and the transmission ratio, which is the median foreign move over the median US move that preceded it. Each pair is computed over the dates both markets cover, and the unconditional average session is shown for comparison. Local currency, price returns, dividends excluded.
- How often it changes
- Regenerated from the full daily history about once a year; the date it runs through is at the top of the page.
- Citing this page
Free to quote — please link rather than copy the table.
Plutux. "When Wall Street falls, what happens in Tokyo the next morning." Data through 28 Aug 2026. https://plutux.ai/ko/resources/tools/us-selloff-spillover
Historical figures for information only — not investment advice, and not a forecast.
Related tools
- World market correlationsA correlation matrix for twelve national indices — monthly, daily, and daily with the time-zone offset removed.
- World index returnsYear-by-year returns for the S&P 500, Nasdaq, Hang Seng, Nikkei, DAX, FTSE, KOSPI, Sensex and more, in one sortable table.
- After a big moveForward returns after every big session since 1928, each one against the unconditional odds over the same horizon.