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International transmission of stock prices among G7 countries: LA-VAR approach

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  • Shigeyuki Hamori
  • Yuriko Imamura

Abstract

The reported study analysed interdependence among stock prices in G7 countries using the LA-VAR method. Monthly data for the period from December 1969 to May 1995 were used and stock prices were analysed not only in local currencies but also in US dollars. The study revealed that the causal relationship between US stock prices and those in the rest of the world is significant. This may be due to the dominant influence of the US economy on the world market.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850050059113&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 7 (2000)
Issue (Month): 9 ()
Pages: 613-618

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Handle: RePEc:taf:apeclt:v:7:y:2000:i:9:p:613-618

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Cited by:
  1. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Society for Computational Economics, vol. 35(1), pages 1-23, January.
  2. repec:ebl:ecbull:v:6:y:2007:i:27:p:1-7 is not listed on IDEAS
  3. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 463-478, September.
  4. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7.
  5. Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
  6. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
  7. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.
  8. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, vol. 18(3), pages 319-340, September.
  9. Go Tamakoshi & Shigeyuki Hamori, 2011. "Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3339-3353.
  10. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.

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