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Temporal Links Betvveen Price Indices Of Stock Markets With Overlapping Business Hours

Author

Listed:
  • Ezequiel Uriel Jiménez

    () (Instituto Valenciano de Investigaciones Económicas)

  • Javier Quesada Ibañez

    () (Instituto Valenciano de Investigaciones Económicas)

  • Amado Peiró

    (Universitat de València)

Abstract

This article analyzes the way in which intemational stock markets transmit information around the world. We are able to decompose the influenced of one market on another one in two elements: the capability of one market to exercise influence on any other market and the sensitivity of every market to information coming from other stock markets. We extend previous work including markets with overlapping operating schedules. The prediction accuracy of the proposed model is favourably compared with altemative models.

Suggested Citation

  • Ezequiel Uriel Jiménez & Javier Quesada Ibañez & Amado Peiró, 1995. "Temporal Links Betvveen Price Indices Of Stock Markets With Overlapping Business Hours," Working Papers. Serie EC 1995-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:1995-02
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1995-02.pdf
    File Function: Fisrt version / Primera version, 1995
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    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.
    2. Vicente Calabuig Alcantara, 1997. "Ineficiencias en las negociaciones entre dos agentes completamente informados," Working Papers. Serie EC 1997-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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