Advanced Search
MyIDEAS: Login to save this paper or follow this series

Transmission Of Information Between Stock Markets

Contents:

Author Info

  • Ezequiel Uriel Jiménez

    ()
    (Instituto Valenciano de Investigaciones Económicas)

  • Javier Quesada Ibáñez

    ()
    (Instituto Valenciano de Investigaciones Económicas)

  • Amado Peiró Giménez

    (Universitat de València)

Abstract

Este trabajo analiza el efecto del precio de las acciones extranjeras enlos mercados nacionales. El método que aquí se propone identifica, para cadauno de los mercados estudiados, dos elementos distintos hasta ahora nodiferenciados: primero, la importancia de un mercado atribuible a suscaracterísticas intrínsecas, que deben ser las mismas independientemente delmercado que recibe la influencia. Segundo, la sensibilidad del índice bursátila las variaciones de precio observadas en los mercados precedentes. Unanálisis empírico de los índices de las bolsas de Tokio, Frankfurt y NuevaYork, permite cualificar de forma significativa los resultados existentes enla literatura. This paper analyzes the effect of foreign stock price movements ondomestic markets. The method we propose identifies, for each market in thesample, two different elements which have not been separated as yet: first,the importance of one market attributable to its intrinsic characteristics,which must be the same independently of the market receiving the influence.Second, how sensitive is the market index to the price variation observed inthe preceding markets. An empirical analysis of the Tokyo, Frankfurt and NewYork stock market indexes provided meaningful qualifications to existingresults.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1993-07.pdf
File Function: Fisrt version / Primera version, 1993
Download Restriction: no

Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 1993-07.

as in new window
Length: 28 pages
Date of creation: Dec 1993
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:1993-07

Contact details of provider:
Postal: C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA
Phone: +34 96 319 00 50
Fax: +34 96 319 00 55
Email:
Web page: http://www.ivie.es/
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 3-19.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:1993-07. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.