The transmission of shocks among S&P indexes
Financial market participants pay particular attention to the behaviour of equity indexes due, in part, to the popularity of index investing and the reliance on market and sector indexes to evaluate managed portfolios. Five major S&P stock indexes are examined to determine their interrelationships and how shocks to one index are transmitted to the others. The paper employs the newly developed technique of generalized forecast error variance decomposition [Koop et al. (1996); Pesaran and Shin (1998)]. Unlike the traditional orthogonalized decomposition, the generalized version is invariant to the ordering of the variables in the underlying vector autoregression. The results provide important information about the transmission of shocks among these indexes.
Volume (Year): 12 (2002)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:285-290. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.