IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v2y2001i3d10.1057_palgrave.jam.2240053.html
   My bibliography  Save this article

Information flows among the major stock market areas

Author

Listed:
  • FJ Climent

    (Departamento de Economía Financiera y Matemática, Facultad de Economía, Avda de Tarongers s/n., Edificio Departamental Oriental, Universidad de Valencia)

  • V Meneu
  • A Pardo

Abstract

The relationship between the index returns of the major stock markets has been analysed in many papers. These studies usually examine lead–lag relationships between markets, without distinguishing the influencing ability and the sensitivity of each of the markets. Additionally, these studies use indices that are not directly comparable — either because of the way the indices are calculated or because of the number of companies and sectors used to construct them. This paper addresses both points. First, all the analyses have been made using homogeneous indices designed by Morgan Stanley Capital International. Secondly, the information flow has been studied by applying the model proposed by Pieró et al. (1998). This model allows us to study the effective influence of one market on another by separating the capability to influence of the first and the sensitivity of the second. The obtained results indicate that during the period 1988–1993, the linkage among the major stocks markets were determined by the sensitivity of the market receiving the information; while in the period 1993–1998, the linkages are determined by the ability of the markets to influence others.

Suggested Citation

  • FJ Climent & V Meneu & A Pardo, 2001. "Information flows among the major stock market areas," Journal of Asset Management, Palgrave Macmillan, vol. 2(3), pages 284-292, December.
    • Handle: RePEc:pal:assmgt:v:2:y:2001:i:3:d:10.1057_palgrave.jam.2240053
    DOI: 10.1057/palgrave.jam.2240053
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240053
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240053?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:2:y:2001:i:3:d:10.1057_palgrave.jam.2240053. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.