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Using intraday prices for the S&P 500 and Nikkei Stock Average stock indexes and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the heterogeneous-agent models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O’Hara (1994) and Wang (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return “spillovers” are sensitive to interactions with trading volume in those markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linear patterns that are not predicted by theory.

This chapter is an exercise in speaking, letting individuals speak for themselves insofar as possible. As Marx famously put it, “they cannot represent themselves, they must be represented.” The “they” were peasants, potato farmers in 1840s France, and by extension peasants, workers, and other lower class groups, not to mention women and minorities who rarely made it into the historical record, and even more rarely in their own words. To give “voice to the voiceless,” as the now old new social historians of the 1960s and 1970s put it, I consciously include here numerous speakers, arranged in two sets of different voices: quotes in the text and endnotes to further document and amplify points. With this plethora of voices, the aim is not to complicate but to speak clearly, listen carefully, and engage respectfully. To multiply the speakers speaking is the single best way to make two primary points concerning what is most important about the Chief Illiniwek mascot controversy: that the sheer number of individuals speaking out is in itself significant, and that this community colloquy all comes down to identity – who we are, individual identity, communal identity.