The International Price Transmission in Stock Index Futures Markets
AbstractThis 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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Bibliographic InfoArticle provided by Western Economic Association International in its journal Economic Inquiry.
Volume (Year): 42 (2004)
Issue (Month): 3 (July)
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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; Dynamic Treatment Effect Models; Diffusion Processes
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- Yang, Jian & Guo, Hui & Wang, Zijun, 2006.
"International transmission of inflation among G-7 countries: A data-determined VAR analysis,"
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- 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.
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- Selva Demiralp & Kevin Hoover & Stephen Perez, 2014. "Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression," Empirical Economics, Springer, vol. 46(2), pages 701-731, March.
- Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 394-399.
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