Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data

•This study uses minute-by-minute data to analyze price discovery dynamics across time zones.•Hasbrouck's (1995) and Gonzalo and Granger's (1995) models are used to examine long-term price discovery.•Granger-causality test is used to analyze the short-run dynamics of information transmission.•We find a consistent result in the short-run and long-run price discovery process.•Our results show the Nikkei 225 futures price is influenced mainly from the location, supporting trading-place-bias hypothesis.•The information leading role has changed over time from the US in 2011–2012 to Japan in 2013.