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High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations

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  • Fischer, K P
  • Palasvirta, A P

Abstract

The paper reports the results of a cross-spectral analysis of the price behavior of stock market indices in 23 countries. The primary goal of our study is to test for interdependence between the time series of stock market indices to support or reject the hypothesis that world markets are becoming more integrated. We reassess and extend findings of the late 1970s measuring the coherence and lead/lag relationship between stock markets world-wide, employing a time series of daily country index returns. In contrast to earlier results, we find a high and statistically significant level of interdependence between stock markets, and we also find that U.S. index prices lead almost every country index in the sample. Copyright 1990 by MIT Press.

Suggested Citation

  • Fischer, K P & Palasvirta, A P, 1990. "High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations," The Financial Review, Eastern Finance Association, vol. 25(3), pages 371-394, August.
  • Handle: RePEc:bla:finrev:v:25:y:1990:i:3:p:371-94
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    Cited by:

    1. Eduardo Roca & Victor S.H. Wong & Gurudeo Anand Tularam, 2010. "Are socially responsible investment markets worldwide integrated?," Accounting Research Journal, Emerald Group Publishing, vol. 23(3), pages 281-301, November.
    2. Orlov, Alexei G., 2009. "A cospectral analysis of exchange rate comovements during Asian financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 742-758, December.
    3. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    4. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
    5. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
    6. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
    7. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
    8. Elaine Jones, 2009. "Recession And International Market Correlations," Working Papers 0901, University of Central Missouri, Department of Economics & Finance, revised Jul 2009.
    9. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
      [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]
      ," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
    10. Kim Sangbae & In Francis Haeuck, 2003. "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-18, December.
    11. Kizilaslan, Recep & Freund, Steven & Iseri, Ali, 2016. "A data analytic approach to forecasting daily stock returns in an emerging marketAuthor-Name: Oztekin, Asil," European Journal of Operational Research, Elsevier, vol. 253(3), pages 697-710.
    12. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
    13. Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 387-405.
    14. C. D. Sinclair & D. M. Power & A. A. Lonie & C. V. Helliar, 1997. "An investigation of the stability of returns in Western European equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 87-106.
    15. Smith, Kenneth L., 2001. "Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 69-87, February.
    16. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
    17. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
    18. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.

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