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The International Price Transmission in Stock Index Futures Markets

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Author Info
Jian Yang
David A. Bessler

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Abstract

This study explores dynamic price relationships among nine major stock index futures markets, combining an error-correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The United States and the United Kingdom appear to share leadership roles in stock index futures markets. The UK and German markets rather than the U.S. exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading. (JEL G15, C32) Copyright 2004, Oxford University Press.

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File URL: http://hdl.handle.net/10.1093/ei/cbh067
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Publisher Info
Article provided by Oxford University Press in its journal Economic Inquiry.

Volume (Year): 42 (2004)
Issue (Month): 3 (July)
Pages: 370-386
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Handle: RePEc:oup:ecinqu:v:42:y:2004:i:3:p:370-386

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Related research
Keywords:

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

Cited by:
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  1. Jian Yang & Hui Guo & Zijun Wang, 2004. "International transmission of inflation among G-7 countries: a data-determined VAR analysis," Working Papers 2004-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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This page was last updated on 2009-10-23.

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