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The International Price Transmission in Stock Index Futures Markets

  • Jian Yang
  • David A. Bessler

This 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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File URL: http://hdl.handle.net/10.1093/ei/cbh067
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Article provided by Western Economic Association International in its journal Economic Inquiry.

Volume (Year): 42 (2004)
Issue (Month): 3 (July)
Pages: 370-386

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Handle: RePEc:oup:ecinqu:v:42:y:2004:i:3:p:370-386
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