Linkages among European and world stock markets
AbstractCausal relations and dynamic interactions among equity returns in ten countries for the period 1983-1994 are analysed. An innovation accounting approach based on a multivariate vector autoregressive (VAR) model is used to estimate the proportion of each market return's forecast error attributable to innovations in foreign market returns. Three major results appear. The variance decompositions indicate a strong degree of economic interaction among stock markets. The US stock market has a considerable influence on stock market performance in almost every country, while there is no substantial inter-continental influence from the European stock markets on the world's two largest equity markets in New York and Tokyo. Finally, the pattern of the impulse-response functions illustrates a rapid international transmission of stock market events, supporting the hypothesis of international stock market efficiency.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The European Journal of Finance.
Volume (Year): 1 (1995)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/REJF20
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- Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Stock Market Integration: DCC MV-GARCH Model," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 488-503.
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